S&P Composite 1500 Index
The S&P Composite 1500 combines three leading indices, the S&P 500, the S&P MidCap 400, and the S&P SmallCap 600, to cover approximately 90% of U.S. market capitalization. It is designed for investors seeking to replicate the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks.
Key facts
- The primary trend is increasing.
- The growth rate of the primary trend is 21.28% per annum.
- S&P Composite 1500 Index at the close of May 28, 2024 was 1,200.06 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 41.77% per annum.
- S&P Composite 1500 Index at the close of May 28, 2024 was inside the secondary price channel.
Linear Regression Model
Model equation:
Yi = α + β × Xi + εi
Top border of price channel:
Exp(Yi) = Exp(a + b × Xi + 2 × s)
Bottom border of price channel:
Exp(Yi) = Exp(a + b × Xi – 2 × s)
where:
i - observation number
Yi - natural logarithm of S&P Composite 1500 Index
Xi - time index, 1 day interval
σ - standard deviation of εi
a - estimator of α
b - estimator of β
s - estimator of σ
Exp() - calculates the exponent of e
Primary Trend
Start date: September 21, 2022
End date: May 28, 2024
a = 6.1609
b = 0.0005
s = 0.0316
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 21.28%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0316) – 1
= 13.47%
September 21, 2022 calculations
Top border of price channel:
Exp(Y756)
= Exp(a + b × X756 + 2 × s)
= Exp(a + b × 1,097 + 2 × s)
= Exp(6.1609 + 0.0005 × 1,097 + 2 × 0.0316)
= Exp(6.8039)
= 901.39
Bottom border of price channel:
Exp(Y756)
= Exp(a + b × X756 – 2 × s)
= Exp(a + b × 1,097 – 2 × s)
= Exp(6.1609 + 0.0005 × 1,097 – 2 × 0.0316)
= Exp(6.6776)
= 794.39
May 28, 2024 calculations
Top border of price channel:
Exp(Y1,178)
= Exp(a + b × X1,178 + 2 × s)
= Exp(a + b × 1,712 + 2 × s)
= Exp(6.1609 + 0.0005 × 1,712 + 2 × 0.0316)
= Exp(7.1290)
= 1,247.66
Bottom border of price channel:
Exp(Y1,178)
= Exp(a + b × X1,178 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(6.1609 + 0.0005 × 1,712 – 2 × 0.0316)
= Exp(7.0027)
= 1,099.56
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 21.28% per annum.
- S&P Composite 1500 Index at the close of May 28, 2024 was 1,200.06 and was inside the primary price channel.
Secondary Trend
Start date: September 21, 2023
End date: May 28, 2024
a = 5.4751
b = 0.0010
s = 0.0231
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 41.77%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0231) – 1
= 9.67%
September 21, 2023 calculations
Top border of price channel:
Exp(Y1,007)
= Exp(a + b × X1,007 + 2 × s)
= Exp(a + b × 1,462 + 2 × s)
= Exp(5.4751 + 0.0010 × 1,462 + 2 × 0.0231)
= Exp(6.9193)
= 1,011.57
Bottom border of price channel:
Exp(Y1,007)
= Exp(a + b × X1,007 – 2 × s)
= Exp(a + b × 1,462 – 2 × s)
= Exp(5.4751 + 0.0010 × 1,462 – 2 × 0.0231)
= Exp(6.8270)
= 922.39
May 28, 2024 calculations
Top border of price channel:
Exp(Y1,178)
= Exp(a + b × X1,178 + 2 × s)
= Exp(a + b × 1,712 + 2 × s)
= Exp(5.4751 + 0.0010 × 1,712 + 2 × 0.0231)
= Exp(7.1583)
= 1,284.75
Bottom border of price channel:
Exp(Y1,178)
= Exp(a + b × X1,178 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(5.4751 + 0.0010 × 1,712 – 2 × 0.0231)
= Exp(7.0660)
= 1,171.48
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 41.77% per annum.
- S&P Composite 1500 Index at the close of May 28, 2024 was inside the secondary price channel.