S&P Composite 1500 Index
The S&P Composite 1500 combines three leading indices, the S&P 500, the S&P MidCap 400, and the S&P SmallCap 600, to cover approximately 90% of U.S. market capitalization. It is designed for investors seeking to replicate the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks.
Key facts
- The primary trend is increasing.
- The growth rate of the primary trend is 21.11% per annum.
- S&P Composite 1500 Index at the close of May 17, 2024 was 1,201.29 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 42.59% per annum.
- S&P Composite 1500 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 S&P Composite 1500 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 = 6.1014
b = 0.0005
s = 0.0316
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 21.11%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0316) – 1
= 13.49%
September 21, 2022 calculations
Top border of price channel:
Exp(Y840)
= Exp(a + b × X840 + 2 × s)
= Exp(a + b × 1,220 + 2 × s)
= Exp(6.1014 + 0.0005 × 1,220 + 2 × 0.0316)
= Exp(6.8048)
= 902.18
Bottom border of price channel:
Exp(Y840)
= Exp(a + b × X840 – 2 × s)
= Exp(a + b × 1,220 – 2 × s)
= Exp(6.1014 + 0.0005 × 1,220 – 2 × 0.0316)
= Exp(6.6783)
= 794.94
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(6.1014 + 0.0005 × 1,824 + 2 × 0.0316)
= Exp(7.1218)
= 1,238.62
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(6.1014 + 0.0005 × 1,824 – 2 × 0.0316)
= Exp(6.9952)
= 1,091.38
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 21.11% per annum.
- S&P Composite 1500 Index at the close of May 17, 2024 was 1,201.29 and was inside the primary price channel.
Secondary Trend
Start date: September 21, 2023
End date: May 17, 2024
a = 5.3312
b = 0.0010
s = 0.0232
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 42.59%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0232) – 1
= 9.73%
September 21, 2023 calculations
Top border of price channel:
Exp(Y1,091)
= Exp(a + b × X1,091 + 2 × s)
= Exp(a + b × 1,585 + 2 × s)
= Exp(5.3312 + 0.0010 × 1,585 + 2 × 0.0232)
= Exp(6.9183)
= 1,010.55
Bottom border of price channel:
Exp(Y1,091)
= Exp(a + b × X1,091 – 2 × s)
= Exp(a + b × 1,585 – 2 × s)
= Exp(5.3312 + 0.0010 × 1,585 – 2 × 0.0232)
= Exp(6.8254)
= 920.97
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(5.3312 + 0.0010 × 1,824 + 2 × 0.0232)
= Exp(7.1506)
= 1,274.82
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(5.3312 + 0.0010 × 1,824 – 2 × 0.0232)
= Exp(7.0577)
= 1,161.81
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 42.59% per annum.
- S&P Composite 1500 Index at the close of May 17, 2024 was inside the secondary price channel.