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Indices


Sector Index:

  The market cap. weighted price index of the displayed sector and region (Global, US, Non-US) based on shares outstanding. (Right-hand scale.)

Advance-Decline Line:

  A measure of breadth within the sector. This index-line increases by 1 point per day for every stock in the sector that rises and declines by one point for every stock that depreciates. The Advance-Decline Line can indicate underlying strength or weakness in a sector. (Left-hand scale.)

Volume Confirmation:

  A statistical comparison between the change in price at the sector level the and the Money Flow (the day’s change in price multiplied by the day’s volume at the individual stock level, aggregated to the sector level). The signal also has a breadth component (so that an individual stock alone cannot generate a signal) and is normalized for the price volatility at the sector (and stock) levels

1-Day Signal:

  Intuitively represents whether there is an excess amount of volume accompanying the price change, either up or down, on the day.

2-Day Signal:

  The 2-day exponential moving average of the 1-day signal. This gauges whether a 1-day signal reversal is strong enough to produce a 2-day signal. The 2-day signal, when above 0.275 (or below -0.275), can be shown to be statistically significant for forecasting future sector returns (signals in the -0.275 to 0.275 range are shown in light blue)

Cycles:

  The cycle analysis is based on spectral analysis of frequency response of a sector index. The Long and the Short Cycles are those cycles with the best frequency response for cycles ranging from 10 to 375 trading days

Length:

  The average length of the cycle as measured from bottom to bottom

Fit:

  A fit of 100% represents that the most recent cycle bottoms and tops are exactly symmetric around the given cycle length. A fit of 75% or more is considered good. A fit below 50% is considered poor and the Days to Top and Bottom are not displayed in this case

Days to Top and Bottom:

  An estimate of the number of trading days from or to the next cycle top or bottom. This is indicative only and should be considered alongside other indicators such as Volume Confirmation Signals. Particularly the “Days to Top” should be treated with some caution as cycles can often have left or right translation meaning that the top occurs late (or early) even though the cycle is well-defined in terms of the bottom-to-bottom symmetry, which tends to be the more stable measure of cyclicality.

Key Statistics Table


M’Cap:

  The aggregate market cap of sector stock constituents

Stock Count:

  Number of stocks in the sector index

1-Day Breadth:

  The number of advancing issues divided by the number of declining issues (or vice-versa if negative). “Max” denotes that all stocks in the sector traded up and “Min” denotes that all stocks traded down.

Sector Performance:

  The price change in the cap. weighted price index for the sector

Beta:

  The Beta of the sector price index against the price-index of the total market (US sector against US market index but Non-US sector against Global market index) measured over 60 trading days. The Beta could be positive even if the correlation were zero, as random movements in the same direction could happen more often on days with larger price movements in the sector index than on days with smaller price movements

Correlation:

  The correlation between the sector price index and that of the total market for the same region measured in the same way as Beta. A correlation of 1.0 would imply that the sector and the total market were perfectly correlated, i.e. they move in lock-step each trading day (although possibly at different rates of change as measured by the Beta), a value of zero would imply no correlation, and a value of -1.0 would imply a perfect inverse daily correlation

Note that our definition of “Non-US” only refers to non-US domiciled stocks trading on US exchanges. “Global” refers to US traded stocks of all domiciles.

 


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