PortfolioMath

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

 136↑
Caliber

S&P 500 Update For The Week Of Sept. 24th 2018

The 60-day Caliber rose to 136 last week which means that over the last 60 trading days the S&P 500 behaved as if it was made up of 136 completely independent stocks. The overall diversity has increased over the last couple of months so the stability of the market may have improved a bit. 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.

 0.08↑
Correlation

The correlation between a stock's return and it's Affinity rose to 0.08 last week. This rise into slightly positive territory could indicate a return to more normal conditions in the market. 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.

Disclaimer

The information on this website: