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Sector Overview Table Help



M’Cap:

  The aggregate market cap. of stock constituents in the displayed sector and region (Global, US, Non-US) based on shares outstanding

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 and volume 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.
  • Rank:  This captures the 1-week momentum of Volume Confirmation signals. Each sector is ranked from 1 (best) to 100 (worst) according to the 1-week exponential moving average of the 2-day Volume Confirmation signal.

Sector Performance:

  Price change in the market cap. weighted price index over 1, 5, 20 and 60 trading days

Relative Volume:

  The relative volume of the sector adjusted by the individual stock prices so that low priced stocks do not exert undue influence. Measured over 1, 5 and 20 trading days relative to the 252 trading-day average volume

Beta:

  The Beta of the sector price index against the total market index ("All Stocks Index") for the displayed region (Global, US or Non-US) 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 the total market index for the displayed 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

Volatility:

  The annualized volatility of the daily changes in the sector index price measured using logarithmic returns over 60 trading days. Annualized using 252 trading days

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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