Russell 2000 Index
The Russell 2000 Index measures the performance of the small-cap segment of the US equity universe. The Russell 2000 Index is a subset of the Russell 3000 Index representing approximately 7% of the total market capitalization of that index, as of the most recent reconsitution. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
Key facts
- The primary trend is decreasing.
- The decline rate of the primary trend is 9.72% per annum.
- Russell 2000 Index at the close of May 17, 2024 was 2,095.72 and was higher than the top border of the primary price channel by 258.34 points (14.06%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 5.47% per annum.
- Russell 2000 Index at the close of May 17, 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 Russell 2000 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: January 6, 2021
End date: November 30, 2023
a = 7.9059
b = -0.0003
s = 0.0607
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -9.72%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0607) – 1
= 27.47%
January 6, 2021 calculations
Top border of price channel:
Exp(Y412)
= Exp(a + b × X412 + 2 × s)
= Exp(a + b × 597 + 2 × s)
= Exp(7.9059 + -0.0003 × 597 + 2 × 0.0607)
= Exp(7.8599)
= 2,591.34
Bottom border of price channel:
Exp(Y412)
= Exp(a + b × X412 – 2 × s)
= Exp(a + b × 597 – 2 × s)
= Exp(7.9059 + -0.0003 × 597 – 2 × 0.0607)
= Exp(7.6172)
= 2,032.87
November 30, 2023 calculations
Top border of price channel:
Exp(Y1,142)
= Exp(a + b × X1,142 + 2 × s)
= Exp(a + b × 1,655 + 2 × s)
= Exp(7.9059 + -0.0003 × 1,655 + 2 × 0.0607)
= Exp(7.5635)
= 1,926.49
Bottom border of price channel:
Exp(Y1,142)
= Exp(a + b × X1,142 – 2 × s)
= Exp(a + b × 1,655 – 2 × s)
= Exp(7.9059 + -0.0003 × 1,655 – 2 × 0.0607)
= Exp(7.3207)
= 1,511.30
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 9.72% per annum.
- Russell 2000 Index at the close of May 17, 2024 was 2,095.72 and was higher than the top border of the primary price channel by 258.34 points (14.06%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 5, 2022
End date: May 17, 2024
a = 7.3156
b = 0.0001
s = 0.0508
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0001) – 1
= 5.47%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0508) – 1
= 22.53%
May 5, 2022 calculations
Top border of price channel:
Exp(Y747)
= Exp(a + b × X747 + 2 × s)
= Exp(a + b × 1,081 + 2 × s)
= Exp(7.3156 + 0.0001 × 1,081 + 2 × 0.0508)
= Exp(7.5750)
= 1,948.85
Bottom border of price channel:
Exp(Y747)
= Exp(a + b × X747 – 2 × s)
= Exp(a + b × 1,081 – 2 × s)
= Exp(7.3156 + 0.0001 × 1,081 – 2 × 0.0508)
= Exp(7.3718)
= 1,590.55
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(7.3156 + 0.0001 × 1,824 + 2 × 0.0508)
= Exp(7.6834)
= 2,172.05
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(7.3156 + 0.0001 × 1,824 – 2 × 0.0508)
= Exp(7.4803)
= 1,772.72
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 5.47% per annum.
- Russell 2000 Index at the close of May 17, 2024 was inside the secondary price channel.