PortfolioMath

Read the article about Caliber and Affinity in Modern Trader magazine.

 145↑
Caliber

S&P 500 Update For The Week Of October 16th 2017

The 60-day Caliber rose to 145 last week so the overall diversity of this index has improved which means that over the last 60 trading days the S&P 500 behaved as if it was made up of 145 completely independent stocks. Higher Calibers sometimes coincided with better market conditions in the past but this might not be the case in the future.

The Caliber calculated for each 60 day period over the past year.

 0.065↓
Correlation

The correlation between a stock's return and it's Affinity fell to 0.065 last week. As shown on the graph below, high affinity stocks have had better returns than low affinity stocks this past year which is remarkable because all stock trends are ignored when the Affinities are calculated.

The correlation between stock returns and stock Affinities calculated for each 60 day period over the past year.

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