M7 Equity Indices Overview
Agathos perform market research on a universe of seven international equity markets (often referred to as the M7 Universe): Switzerland (because this is our our domestic market), USA, Japan, Eurozone, Great Britain (the four largest traditional markets), and finally Australia and Canada (two markets with heavy exposure to energy and natural resources). This section gives a bird’s-eye view of that universe. A selection of Agathos’ breadth analyses is found in the section Agathos Analytics.
Below, the index performance of the latest 40 trading days is shown (in weekly increments), with all indices recalculated to a starting value of 100. The display highlights recent performance of markets relative to one another.
Providing more detail to the recent 40 day performance, the chart above shows index performance alongside statistics that describe the distribution of performance based on a large sample of stocks within each market: best and worst quintiles, and median.
Above, the statistical dependency of each of the M7 equity markets on the other six is calculated for the latest 90 weeks. In the calculation of R-squared, an equal-weight composite is used as independent variable, excluding the market under scrutiny. Hence the term ‘isolated dependence’.
The crocodile-tooth chart below reflects latest index values expressed as distance from highs and lows observed during the most recent 90 weeks. Intra-week data are not reflected in this analysis.
How frequently markets have reached a new peak is shown in the chart above.
Also reflecting 90 weeks, the chart below illustrates the median drawdown from trailing peak values. Zero readings (signifying a new peak) are included in the calculation. Thus, the chart reflects severity as well as longevity of drawdowns.
The scatter diagram above plots the net sum of weekly gains (after deduction of weekly losses) vertically, against the sum of weekly losses horizontally.