S&P MidCap 400 Index
The S&P MidCap 400 provides investors with a benchmark for mid-sized companies. The index, which is distinct from the large-cap S&P 500, is designed to measure the performance of 400 mid-sized companies, reflecting the distinctive risk and return characteristics of this market segment.
Key facts
- The primary trend is decreasing.
- The decline rate of the primary trend is 2.43% per annum.
- S&P MidCap 400 Index at the close of May 17, 2024 was 3,016.25 and was higher than the top border of the primary price channel by 288.61 points (10.58%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 53.75% per annum.
- S&P MidCap 400 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 S&P MidCap 400 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 7, 2021
End date: December 12, 2023
a = 7.9274
b = -0.0001
s = 0.0532
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -2.43%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0532) – 1
= 23.73%
January 7, 2021 calculations
Top border of price channel:
Exp(Y413)
= Exp(a + b × X413 + 2 × s)
= Exp(a + b × 598 + 2 × s)
= Exp(7.9274 + -0.0001 × 598 + 2 × 0.0532)
= Exp(7.9937)
= 2,962.20
Bottom border of price channel:
Exp(Y413)
= Exp(a + b × X413 – 2 × s)
= Exp(a + b × 598 – 2 × s)
= Exp(7.9274 + -0.0001 × 598 – 2 × 0.0532)
= Exp(7.7807)
= 2,394.03
December 12, 2023 calculations
Top border of price channel:
Exp(Y1,150)
= Exp(a + b × X1,150 + 2 × s)
= Exp(a + b × 1,667 + 2 × s)
= Exp(7.9274 + -0.0001 × 1,667 + 2 × 0.0532)
= Exp(7.9218)
= 2,756.61
Bottom border of price channel:
Exp(Y1,150)
= Exp(a + b × X1,150 – 2 × s)
= Exp(a + b × 1,667 – 2 × s)
= Exp(7.9274 + -0.0001 × 1,667 – 2 × 0.0532)
= Exp(7.7088)
= 2,227.88
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 2.43% per annum.
- S&P MidCap 400 Index at the close of May 17, 2024 was 3,016.25 and was higher than the top border of the primary price channel by 288.61 points (10.58%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: September 21, 2023
End date: April 11, 2024
a = 5.9098
b = 0.0012
s = 0.0245
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0012) – 1
= 53.75%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0245) – 1
= 10.29%
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(5.9098 + 0.0012 × 1,585 + 2 × 0.0245)
= Exp(7.8267)
= 2,506.58
Bottom border of price channel:
Exp(Y1,093)
= Exp(a + b × X1,093 – 2 × s)
= Exp(a + b × 1,585 – 2 × s)
= Exp(5.9098 + 0.0012 × 1,585 – 2 × 0.0245)
= Exp(7.7287)
= 2,272.67
April 11, 2024 calculations
Top border of price channel:
Exp(Y1,232)
= Exp(a + b × X1,232 + 2 × s)
= Exp(a + b × 1,788 + 2 × s)
= Exp(5.9098 + 0.0012 × 1,788 + 2 × 0.0245)
= Exp(8.0659)
= 3,184.03
Bottom border of price channel:
Exp(Y1,232)
= Exp(a + b × X1,232 – 2 × s)
= Exp(a + b × 1,788 – 2 × s)
= Exp(5.9098 + 0.0012 × 1,788 – 2 × 0.0245)
= Exp(7.9679)
= 2,886.91
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 53.75% per annum.
- S&P MidCap 400 Index at the close of May 17, 2024 was inside the secondary price channel.