Russell 3000 Index
The Russell 3000 Index measures the performance of the largest 3,000 US companies representing approximately 96% of the investable US equity market, as of the most recent reconstitution. The Russell 3000 Index is constructed to provide a comprehensive, unbiased and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are included.
Key facts
- The primary trend is increasing.
- The growth rate of the primary trend is 21.06% per annum.
- Russell 3000 Index at the close of May 17, 2024 was 3,031.99 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 42.79% per annum.
- Russell 3000 Index at the close of May 17, 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 Russell 3000 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 17, 2024
a = 7.0302
b = 0.0005
s = 0.0323
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 21.06%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0323) – 1
= 13.79%
September 21, 2022 calculations
Top border of price channel:
Exp(Y830)
= Exp(a + b × X830 + 2 × s)
= Exp(a + b × 1,220 + 2 × s)
= Exp(7.0302 + 0.0005 × 1,220 + 2 × 0.0323)
= Exp(7.7334)
= 2,283.42
Bottom border of price channel:
Exp(Y830)
= Exp(a + b × X830 – 2 × s)
= Exp(a + b × 1,220 – 2 × s)
= Exp(7.0302 + 0.0005 × 1,220 – 2 × 0.0323)
= Exp(7.6042)
= 2,006.67
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,246)
= Exp(a + b × X1,246 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(7.0302 + 0.0005 × 1,824 + 2 × 0.0323)
= Exp(8.0496)
= 3,132.62
Bottom border of price channel:
Exp(Y1,246)
= Exp(a + b × X1,246 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(7.0302 + 0.0005 × 1,824 – 2 × 0.0323)
= Exp(7.9204)
= 2,752.95
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 21.06% per annum.
- Russell 3000 Index at the close of May 17, 2024 was 3,031.99 and was inside the primary price channel.
Secondary Trend
Start date: September 21, 2023
End date: May 17, 2024
a = 6.2514
b = 0.0010
s = 0.0243
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 42.79%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0243) – 1
= 10.21%
September 21, 2023 calculations
Top border of price channel:
Exp(Y1,081)
= Exp(a + b × X1,081 + 2 × s)
= Exp(a + b × 1,585 + 2 × s)
= Exp(6.2514 + 0.0010 × 1,585 + 2 × 0.0243)
= Exp(7.8469)
= 2,557.86
Bottom border of price channel:
Exp(Y1,081)
= Exp(a + b × X1,081 – 2 × s)
= Exp(a + b × 1,585 – 2 × s)
= Exp(6.2514 + 0.0010 × 1,585 – 2 × 0.0243)
= Exp(7.7497)
= 2,320.98
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,246)
= Exp(a + b × X1,246 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(6.2514 + 0.0010 × 1,824 + 2 × 0.0243)
= Exp(8.0802)
= 3,229.85
Bottom border of price channel:
Exp(Y1,246)
= Exp(a + b × X1,246 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(6.2514 + 0.0010 × 1,824 – 2 × 0.0243)
= Exp(7.9830)
= 2,930.74
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 42.79% per annum.
- Russell 3000 Index at the close of May 17, 2024 was inside the secondary price channel.