Sector Structure & Index Information

The MarketScalpel database and analytics engine produces a unique streamlined package of sector information covering breadth (e.g. issues and volume), proprietary Money Flow analysis as well as market cap. weighted price indices.

MarketScalpel tracks approximately 4,700 active, individual stocks selected on a market cap and liquidity screen listed on the three primary US exchanges, comprising the total universe.

These are divided into 150 individual industry-groups and sub-sectors organized under 10 top-level sectors. Each sub-sector is further segmented along companies’ geographical domicile – US-based, non-US and global US-listed – for a total of 450 distinct sub-sectors with multiple levels of aggregation (the demo version of the Market Navigator research platform - with stale data-  illustrates the structure interactively).

As a general rule, the database includes common stocks and ADRs only and does not incorporate preference shares or other quasi-equity instruments such as traded warrants. Furthermore, the database does not incorporate ETFs to avoid double counting, and instead directly captures the effect of funds’ buying and selling at the level of individual stocks.

Sector Price Index Data & Methodology

• Price Index data are market capitalization weighted but not free float adjusted, and not designed as a actuarial record, with survivorship bias evident in historical data particularly prior to 2002
• To our knowledge the most comprehensive price index series available from any provider
• Price Indices are adjusted for special dividends (but not ordinary dividends)
• Clean volume data focusing on common stocks
• Volume data (and sector prices) adjusted for stock splits in sector components
• Normally history starts from the end of 1995, depending on the industry

Sector Breadth & Internals

MarketScalpel have brought the venerable NYSE and Nasdaq breadth statistics into the 21st century and restored their relevance to today's active market participants.

• 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

• Volume Breadth:

    Up, down and unchanged (in shares)

• Aggregate Dollar Volume:

    Up, down and unchanged volume multiplied by price

• Sector Internals:

    Issues trading above the 10, 25, 50 and 200 day simple moving averages of their stock prices respectively

Sector Money-Flow & Volume Confirmation

A measure of price change weighted by volume at the individual stock level, illuminating the weight of buying or selling underpinning sector price index moves. The price change factor is heavily weighted toward the close but also captures intraday flows by attributing some weight to the open, high and low.

We aggregate the Money Flows of sector components on a bottom-up basis and provide the sector data as part of our proprietary sector index series.

When statistically normalized, breadth-adjusted and compared with the index price movement, this pinpoints exceptional buying and selling activity: Volume Confirmation Signals. These signals can be shown to be statistically significant for forecasting price movement at the sector level.

Data Distribution & Availability

Sector information is generated for each open market day and is normally available to clients before midnight on the same day. It can delivered via email in text format or uploaded via FTP and is designed for local storage in the CompuTrac file format.