S&P SmallCap 600 Index
The S&P SmallCap 600 seeks to measure the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.
Key facts
- The primary trend is decreasing.
- The decline rate of the primary trend is 6.51% per annum.
- S&P SmallCap 600 Index at the close of May 28, 2024 was 1,315.82 and was higher than the top border of the primary price channel by 101.16 points (8.33%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 4.48% per annum.
- S&P SmallCap 600 Index at the close of May 28, 2024 was inside the secondary price channel.
- The direction of the secondary trend is opposite to the direction of the primary trend. This indicates a possible reversal in the direction of the primary trend.
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 SmallCap 600 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: February 4, 2021
End date: December 7, 2023
a = 7.3187
b = -0.0002
s = 0.0497
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -6.51%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0497) – 1
= 21.99%
February 4, 2021 calculations
Top border of price channel:
Exp(Y346)
= Exp(a + b × X346 + 2 × s)
= Exp(a + b × 503 + 2 × s)
= Exp(7.3187 + -0.0002 × 503 + 2 × 0.0497)
= Exp(7.3252)
= 1,518.15
Bottom border of price channel:
Exp(Y346)
= Exp(a + b × X346 – 2 × s)
= Exp(a + b × 503 – 2 × s)
= Exp(7.3187 + -0.0002 × 503 – 2 × 0.0497)
= Exp(7.1265)
= 1,244.49
December 7, 2023 calculations
Top border of price channel:
Exp(Y1,061)
= Exp(a + b × X1,061 + 2 × s)
= Exp(a + b × 1,539 + 2 × s)
= Exp(7.3187 + -0.0002 × 1,539 + 2 × 0.0497)
= Exp(7.1341)
= 1,254.05
Bottom border of price channel:
Exp(Y1,061)
= Exp(a + b × X1,061 – 2 × s)
= Exp(a + b × 1,539 – 2 × s)
= Exp(7.3187 + -0.0002 × 1,539 – 2 × 0.0497)
= Exp(6.9354)
= 1,028.00
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 6.51% per annum.
- S&P SmallCap 600 Index at the close of May 28, 2024 was 1,315.82 and was higher than the top border of the primary price channel by 101.16 points (8.33%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 6, 2022
End date: May 28, 2024
a = 6.9352
b = 0.0001
s = 0.0494
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0001) – 1
= 4.48%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0494) – 1
= 21.83%
May 6, 2022 calculations
Top border of price channel:
Exp(Y662)
= Exp(a + b × X662 + 2 × s)
= Exp(a + b × 959 + 2 × s)
= Exp(6.9352 + 0.0001 × 959 + 2 × 0.0494)
= Exp(7.1492)
= 1,273.05
Bottom border of price channel:
Exp(Y662)
= Exp(a + b × X662 – 2 × s)
= Exp(a + b × 959 – 2 × s)
= Exp(6.9352 + 0.0001 × 959 – 2 × 0.0494)
= Exp(6.9517)
= 1,044.94
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(6.9352 + 0.0001 × 1,712 + 2 × 0.0494)
= Exp(7.2397)
= 1,393.64
Bottom border of price channel:
Exp(Y1,178)
= Exp(a + b × X1,178 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(6.9352 + 0.0001 × 1,712 – 2 × 0.0494)
= Exp(7.0422)
= 1,143.92
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 4.48% per annum.
- S&P SmallCap 600 Index at the close of May 28, 2024 was inside the secondary price channel.