PortfolioMath

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

Warning: As shown on the graph below, the Caliber has fallen to a remarkably low level which could mean this market has become extremely unstable.

 41↓
Caliber

S&P 500 Update For The Week Of April 16th 2018

The 60-day Caliber fell to 41 last week which means that over the last 60 trading days the S&P 500 behaved as if it was made up of 41 completely independent stocks. The overall diversity has declined sharply over the last few months so we could see greater volatility. Higher Calibers sometimes coincided with better market conditions in the past but this might not be the case in the future. All stock trends are removed before the Caliber is calculated.

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

 -0.07↑
Correlation

The correlation between a stock's return and it's Affinity rose to -0.07 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 removed before the Affinities are calculated. The weekly ranking of stocks by Affinity is under the button below.

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

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