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 28, 2024 was 2,066.85 and was higher than the top border of the primary price channel by 235.12 points (12.84%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 5.67% per annum.
- Russell 2000 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 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 = 7.8714
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(Y326)
= Exp(a + b × X326 + 2 × s)
= Exp(a + b × 474 + 2 × s)
= Exp(7.8714 + -0.0003 × 474 + 2 × 0.0607)
= Exp(7.8599)
= 2,591.34
Bottom border of price channel:
Exp(Y326)
= Exp(a + b × X326 – 2 × s)
= Exp(a + b × 474 – 2 × s)
= Exp(7.8714 + -0.0003 × 474 – 2 × 0.0607)
= Exp(7.6172)
= 2,032.87
November 30, 2023 calculations
Top border of price channel:
Exp(Y1,056)
= Exp(a + b × X1,056 + 2 × s)
= Exp(a + b × 1,532 + 2 × s)
= Exp(7.8714 + -0.0003 × 1,532 + 2 × 0.0607)
= Exp(7.5635)
= 1,926.49
Bottom border of price channel:
Exp(Y1,056)
= Exp(a + b × X1,056 – 2 × s)
= Exp(a + b × 1,532 – 2 × s)
= Exp(7.8714 + -0.0003 × 1,532 – 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 28, 2024 was 2,066.85 and was higher than the top border of the primary price channel by 235.12 points (12.84%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 5, 2022
End date: May 28, 2024
a = 7.3274
b = 0.0002
s = 0.0509
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0002) – 1
= 5.67%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0509) – 1
= 22.56%
May 5, 2022 calculations
Top border of price channel:
Exp(Y661)
= Exp(a + b × X661 + 2 × s)
= Exp(a + b × 958 + 2 × s)
= Exp(7.3274 + 0.0002 × 958 + 2 × 0.0509)
= Exp(7.5738)
= 1,946.60
Bottom border of price channel:
Exp(Y661)
= Exp(a + b × X661 – 2 × s)
= Exp(a + b × 958 – 2 × s)
= Exp(7.3274 + 0.0002 × 958 – 2 × 0.0509)
= Exp(7.3704)
= 1,588.32
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(7.3274 + 0.0002 × 1,712 + 2 × 0.0509)
= Exp(7.6877)
= 2,181.44
Bottom border of price channel:
Exp(Y1,178)
= Exp(a + b × X1,178 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(7.3274 + 0.0002 × 1,712 – 2 × 0.0509)
= Exp(7.4843)
= 1,779.94
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 5.67% per annum.
- Russell 2000 Index at the close of May 28, 2024 was inside the secondary price channel.