6 replies to this topic

[traderpaul]

What did the Equal Weight Sectors do in down markets? You showed only up markets in this article.

[frenchpj]

What did the Equal Weight Sectors do in down markets? You showed only up markets in this article.

TP,



Not sure Carl reads this site. Here's his e-mail CSwenlin at decisionpoint.com if you want to follow up that way.

(edited by admin to keep Carl from being spammed more (if that's possible). Get more at www.decisionpoint.com).

[traderpaul]

What did the Equal Weight Sectors do in down markets? You showed only up markets in this article.

TP,



Not sure Carl reads this site. Here's his e-mail CSwenlin at decisionpoint.com if you want to follow up that way.

(edited by admin to keep Carl from being spammed more (if that's possible). Get more at www.decisionpoint.com).

Mark, Would you kindly forward the question to Carl? Thanks.

[Rogerdodger]

RSP is an Equal Weight ETF.
Heres a comparison.
(It didn't start trading until 2003.)
(I notice that volume spikes pinpointed bottoms.)
http://stockcharts.c...8932&r=5230.png
URL If you can't see the chart: http://stockcharts.c...p...8932&r=4463

Edited by Rogerdodger, 26 December 2006 - 03:27 PM.

[mortiz]

The following charts are not the ETFs, but are comparisons of the Dow, SPX, and NDX weighted averages and unweighted averages before the 2000 highs. In each case, the unweighted average is the blue curve and were calibrated to the same price as the weighted index at their respective origins.

The unweighted Dow out paced its weighted cousin at the 2000 highs, whilst the SPX and NDX unweighted variants lagged at the 2000 top. Note how the unweighted SPX and Dow have trounced their weighted brethern over the past few years, while the NDX unweighted average has managed only to keep pace in relative terms. Each unweighted average held up better (on a percentage basis) than the unweighted versions during the 2000-2003 bear.

The various unweighted averages are calculated by averaging all index components' daily percentage price change (same method used by Quotron for their QCHA averages).









FWIW

Randy N.

[airedale88]

randy, thnx for the charts. would you be able to create an unweighted NDX chart using current 4th quarter 06 components and compare that history backwards in time to the "standard" NDX chart to see the effect of cap changes eliminating/adding different issues? thnx.

[mortiz]

Aire, Thanks for the comments and suggestion of investigating the historical unweighted average of the components currently in the NDX. I have a feeling we are on the same page with respect to what such a study would yield.... the unweighted NDX with the current components would have outperformed the historical unweighted NDX that includes the realignments. Tom McClellan, and others as well I am sure, have published performance studies of the NDX components booted from the index as well as the performance on the newcomers after being included in the NDX membership. On balance, the issues falling off the NDX list outperform the newcomers over the next year. To make the NDX membership, the company has to be a stellar performer for a fair amount of time and they often have "matured" with respect to growth by the time they catch the attention of the NASDAQ board deciding the companies to be included in the NDX. It may take a week or two to get at the study, but I'll look into and post the results here or at Technical Watch. A very happy and prosperous New Year to you Aire! Randy