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Proprietary Market By Sector & Industry Group Data

The MarketScalpel database and analytics engine produces a unique streamlined package of comprehensive, value-added sector information, providing clients with powerful insights into the outlook for equity sectors and industry groups.

Sector Internals: Yardstick for Measuring Industry Group Sentiment

The study of market internals has a longstanding reputation for providing valuable insights into market sentiment; are market moves broad based, are new 52-week highs/lows expanding, is volume accompanying the trend?

However, in today's highly complex market the value of widely available exchange-wide data has become questionable, notwithstanding the issue of what this data actually represents.

In particular investors hold positions in stocks that may not be correlated with the broad market.  Further, both experience and academic research show that industry sector peer group performance is a significantly more important driver of investment returns than that of the broad market.

We have restored the relevance of internals data to the market, by richly enhancing the metrics conventionally only available at the total NYSE/Nasdaq level and making this available for sector and industry level analysis.

Available Sector-Based Time Series Data

Bottom-up data currently compiled on each sector include:

  • Price Indices:

    Market Cap weighted at the industry, sector and total market levels regionally referenced
  • Issues Breadth:

      Advancing, declining and unchanged (providing sector Advance/Decline Lines)
  • New 52-Week Highs/Lows:

      Percent of sector issues trading at new 52-week highs and lows
  • Sector Money-Flow:

      Proprietary measure of investment flows in and out of sectors
  • Stocks Above Key Moving Averages:

      Sector components trading above the 10, 25, 50 and 200 day simple moving averages of their stock prices respectively
  • Volume in Shares:

      Up, down and unchanged (in shares)
  • Dollar Value of Volume:

      Attributable to advancing, declining, and unchanged issues
  • Volume Confirmation Signals/Ranking:

      Proprietary statistical measure combining sector Money Flow and breadth

Broad-Based Sector Definitions

To our knowledge MarketScalpel offers the broadest sector indices from any provider. This is a result of our sector structure philosophy, which is designed to determine whether industry strength or weakness is genuinely broad based or merely the result of other factors, such as market cap size or value/growth preferences.

For example, in terms of market cap our US Software sector is around 25% greater than the Dow Jones index, resulting in negligible variance between the two price indices. However, the material difference is that our sector comprises in excess of 3x the number of constituents relative to Dow Jones' (see below), and as a result breadth and other sentiment data are derived from on a considerably more exhaustive universe of stocks, that nevertheless pass a meaningful market cap and liquidity screen.

Comparison of Market Cap & Issues Coverage


US Software Sector, July 2008


Comparison of Dow Jones vs MarketScalpel US Software Sector;
 Market cap & number of sector components

Quantifying Market Appetite for Sectors & Industry Groups

Our quantitative approach to market by sector analysis facilitates the empirical measurement of investor appetite towards sectors.

For example, our proprietary time series data of the percentage of industry components trading above the 10-, 25, 50-, and 200-day moving average of their share prices reveals natural levels from which sectors tend reverse, tailored for different investors' horizons.

In addition we have developed a variety of top down market analysis tools and related metrics for rapid screening of sectors and identifying investment opportunities. Please visit the Market Navigator demo (stale data) to test drive our research platform.

 


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