Agathos Analytics

Below, seven of the world’s equity markets are tracked. The list includes USA, Japan, Great Britain, Eurozone (the four largest single markets), plus Switzerland, Australia, and Canada (the latter two as markets with significant exposure to energy, metals, and minerals). This group is referred to as “M7 Universe). All analyses are based on weekly closing prices. The first section compares markets against against each other. A second section gives a close-up view of each market by comparing and contrasting a plot of the general market index with various indicators calculated from large samples of individual stocks in each market.  Shown here is a varying selection of analyses and illustrations. Identical graphs and analytical statistics are also generated for another three equity markets: India, China (mainland), and Russia, making up the “M10 Universe”. With a weekly up-date frequency,  complete sets of international comparisons (M7, or M10 universe), and analyses based on large samples of stocks within each market (M7 universe only), are available to subscribers.

M7 Weekly Summary

The exhibit refers to an equal-weight composite index calculated from the seven national equity markets. Unless noted otherwise, graphs and statistics  refer to 100 weeks of that composite index. Annotations to line plot highlight the range of movement in that time. The histogram illustrates the difference between actual and theoretical frequency distribution of weekly changes, based on mean and standard deviation values detailed in the table. The interval size is set to ½ standard deviation with the chart extending four standard deviations on either side of the mean.

The horizontal table details best and worst performing markets for different time frames.

International Comparison Of Equity Markets

In this section, each graph shows all seven markets. Click thumbnail to enlarge.

IC 01-07

Market Indices: Performance Rebased (Four Weeks)

Shown is the recent performance of market indices, 20 trading days to date, rebased to 100. The display highlights peaks and troughs reached between starting and end dates.

IC 01-08

Market Indices: Brief Analysis (Four Weeks)

The graph details on-balance performance 20 trading days to date. The market index (black sphere) is augmented with values for the upper quintile (green outline), the median stock (solid grey), and the lower quintile (red outline).

IC 01-16

Market Indices: Performance (52 Weeks)

Shown is the on-balance performance of market indices, 52 Weeks to date.

IC 01-33

Market Indices: Annualised Return & Observed Risk (36 Months)

Plotted  is the annualised rated of change on the vertical axis, against observed annual risk on the horizontal axis, with the latter being based on the latest 36 monthly rates of change. For the current month, the most recent weekly close is treated as provisional month-end value.

IC 02-01

Market Indices: Distance To Recent Extremes (52 Weeks)

Columns represent the current percentage distance below highs, and above lows reached during the 52 preceding weeks, based only on weekly closing prices.

IC 02-02H

Market Indices: Prevalence Of New Highs (52 Weeks)

Shown is how frequently (in the past 52 weeks) markets have reached a new high.

IC 02-03

Market Indices: Volatility (52 Weeks)

Columns show the band of weekly changes around the mean between the upper and lower inflection points (one standard deviation).

IC 02-05

Market Indices: Distribution Distortions (52 Weeks)

Comparing actual versus theoretical distribution, deviations from ‘normal’ are highlighted. Kurtosis (calculated according to Cochran) is shown on the y-axis, skew (calculated according to Fisher & Pearson) is shown on the x-axis. The chart reflects 52 weekly rates of change to date.

IC 02-06

Market Indices: Cross-Dependencies (52 Weeks)

The grid shows congruence square of the correlation) between all pairs of two markets in the M7 universe. Highlighted in red is the highest (horizontally) value for each market.

Close-Up Views of Equity Markets

In this section, there is one chart for each market. Click carousel to enlarge and navigate between markets.

IC 01-RA02

Congruence With Market Composite (52 Weeks)

The scatter diagram plots weekly rates of change of each market index in the M7 universe against the specific equal weight average of composite indices: a narrow one (M7 except y-variable = M6), and a wider one (M10 except y-variable = M9). Metrics shown above the plot show the regression equation: Alpha (y-intercept), beta (slope), and R-squared. Further, the actual on-balance performance differential to the composite index is shown.

MA 01-07

Buoyancy Of Market Index

The upper chart shows the rebased index performance, together with highs and lows reached during the most recent 100 weeks. Below, the red line plots the market’s buoyancy measured at index level. It is a derivative calculation, based on directional changes in the index. The data are smoothed.

MA 02-13

Analysis of Stock Momentum By Percentile (52 Weeks)

In the upper portion (solid red) momentum velocity of stocks in the market (percentile values), and the index is shown. The lower portion (outlined in red) shows changes to velocity.

MA 03-02A

Profile Of Four Latest Weekly Changes

Shown are the frequency of weekly changes of stocks within each market along a fixed scale, with “zero” at the centre and an equally fixed interval size of 2.5%, and range limited to +/- 15%.