Russell 1000 Index
The Russell 1000 Index measures the performance of the large-cap segment of the US equity universe. It is a subset of the Russell 3000 Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 93% of the Russell 3000 Index, as of the most recent reconstitution. The Russell 1000 Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment 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 21.87% per annum.
- Russell 1000 Index at the close of May 17, 2024 was 2,903.33 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 43.11% per annum.
- Russell 1000 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 1000 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 = 6.9547
b = 0.0005
s = 0.0316
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 21.87%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0316) – 1
= 13.46%
September 21, 2022 calculations
Top border of price channel:
Exp(Y842)
= Exp(a + b × X842 + 2 × s)
= Exp(a + b × 1,220 + 2 × s)
= Exp(6.9547 + 0.0005 × 1,220 + 2 × 0.0316)
= Exp(7.6788)
= 2,162.00
Bottom border of price channel:
Exp(Y842)
= Exp(a + b × X842 – 2 × s)
= Exp(a + b × 1,220 – 2 × s)
= Exp(6.9547 + 0.0005 × 1,220 – 2 × 0.0316)
= Exp(7.5525)
= 1,905.53
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(6.9547 + 0.0005 × 1,824 + 2 × 0.0316)
= Exp(8.0060)
= 2,998.98
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(6.9547 + 0.0005 × 1,824 – 2 × 0.0316)
= Exp(7.8798)
= 2,643.23
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 21.87% per annum.
- Russell 1000 Index at the close of May 17, 2024 was 2,903.33 and was inside the primary price channel.
Secondary Trend
Start date: September 21, 2023
End date: May 17, 2024
a = 6.1969
b = 0.0010
s = 0.0237
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 43.11%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0237) – 1
= 9.96%
September 21, 2023 calculations
Top border of price channel:
Exp(Y1,093)
= Exp(a + b × X1,093 + 2 × s)
= Exp(a + b × 1,585 + 2 × s)
= Exp(6.1969 + 0.0010 × 1,585 + 2 × 0.0237)
= Exp(7.8008)
= 2,442.67
Bottom border of price channel:
Exp(Y1,093)
= Exp(a + b × X1,093 – 2 × s)
= Exp(a + b × 1,585 – 2 × s)
= Exp(6.1969 + 0.0010 × 1,585 – 2 × 0.0237)
= Exp(7.7059)
= 2,221.37
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(6.1969 + 0.0010 × 1,824 + 2 × 0.0237)
= Exp(8.0355)
= 3,088.80
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(6.1969 + 0.0010 × 1,824 – 2 × 0.0237)
= Exp(7.9406)
= 2,808.96
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 43.11% per annum.
- Russell 1000 Index at the close of May 17, 2024 was inside the secondary price channel.