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), as well as Australia, and Canada (two significant markets reflecting economies with heavy exposure to natural resources). 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. To facilitate visual comparison, all graphs use fixed, and uniform scales.

Shown here is a selection of analyses. From time to time, different analyses may be chosen for public view. The full range of analyses and illustrations is available to subscribers.

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Cross-comparison of Equity Markets

Recent Performance

Shown is the performance over 40 days to date (in weekly increments), rebased to 100 at inception.

Index, Outer Quintile Performance, and Median

Shown is the on-balance performance over 40 days to date, comparing index change with three percentiles: best 80% (upper quintile), best 50%, and best 20% (lower quintile) of stocks in each market.

Global Distribution of Stock Performance by Decile

Still measured over 40 days, the chart shows decile performance of a global (M7 markets) universe of some 1’300 stocks.

Isolated Peer Dependency.

Here, each market’s dependency on an equal-weight index calculated from the other six markets is measured, based on weekly rates of change of 90 weeks to date. Shown is the square of the correlation.

Current Distance from High and Low

Each market’s latest price is expressed as percentage change from the recent (90 weeks) highest, and lowest weekly closing.

Prevalence of New Highs

The chart plots how frequently in the recent past (90 weeks) the weekly closing price was higher than any preceding 90 weekly closing prices.

Median Distance Below Peak

Shown is the median percentage drawdown from the trailing 90 week maximum   value. Zero values (market at peak) are included.

Sum of Weekly Gains & Losses

The scatter reflects the sums of weekly gains and losses, with gains shown net of losses. The higher up a market is positioned the higher was its net gain, the further to the right, the higher were losses.

Close-Up View of Equity Markets

Market Index & Median Stock Index

Shown is the general market index together with a plot of the median stock performance, both re-calculated to a base value of 100. The lower portion shows the cumulative difference between the two, illustrating the equal-weight performance of a broad, capitalisation-neutral market measure relative to a small number of ‘index titans’.

Market Index & Frequency of Positive Weekly Changes

Depicted is the frequency of positive weekly changes in the general market, measured over trailing 20 weeks, comparing up-frequency of the index itself with the median of stocks. The data are smoothed.

Market Index & Prevalence of Stocks With Rising Moving Averages

Here, the prevalence of stocks with rising short-term (8 wks), and long-term (52 wks) moving averages is shown. The data are smoothed.

Market Index & Buoyancy

The market index is plotted against a measure of buoyancy, here defined as the frequency-weighted average of stock gains over average losses. The data are smoothed.

Market Index & Performance Distribution Four Weeks

Market Index & Performance Distribution 52 Weeks