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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| AEHRAehr Test SystemsAdvanced Packaging & Test | 6.54 | 1.70 | +4.84 | 5.52 | 89 retained1 trimmed · 825 available |
|---|---|---|---|---|---|
| FORMFormFactor IncAdvanced Packaging & Test | 6.23 | 1.23 | +5.00 | 4.11 | 89 retained1 trimmed · 825 available |
| TERTeradyne IncAdvanced Packaging & Test | 5.67 | 1.96 | +3.72 | 4.17 | 89 retained1 trimmed · 825 available |
| COHUCohu IncAdvanced Packaging & Test | 5.29 | 2.91 | +2.39 | 3.83 | 89 retained1 trimmed · 825 available |
| IMOSChipMOS Technologies IncAdvanced Packaging & Test | 5.06 | 4.12 | +0.94 | 3.23 | 89 retained1 trimmed · 825 available |
| ONTOOnto Innovation IncAdvanced Packaging & Test | 4.93 | 1.87 | +3.07 | 3.71 | 89 retained1 trimmed · 825 available |
| CAMTCamtek LtdAdvanced Packaging & Test | 4.68 | 2.67 | +2.01 | 3.95 | 89 retained1 trimmed · 825 available |
| INTTinTest CorporationAdvanced Packaging & Test | 4.57 | 2.64 | +1.93 | 3.92 | 89 retained1 trimmed · 825 available |
| AMKRAmkor Technology IncAdvanced Packaging & Test | 4.50 | 2.01 | +2.49 | 3.87 | 89 retained1 trimmed · 825 available |
| TRTTrio-Tech InternationalAdvanced Packaging & Test | 4.32 | -0.57 | +4.89 | 4.81 | 89 retained1 trimmed · 814 available |
| ASXASE Industrial Holding Co Ltd ADRAdvanced Packaging & Test | 4.17 | 3.44 | +0.73 | 3.52 | 89 retained1 trimmed · 825 available |
| KLICKulicke and Soffa Industries IncAdvanced Packaging & Test | 2.99 | 1.57 | +1.42 | 2.62 | 89 retained1 trimmed · 825 available |
Regress adjusted close-to-close stock returns on SPY returns with an intercept.
Measure each residual relative to its estimated variance and observation leverage.
Remove floor(n × 2%) sessions with the largest absolute studentized residual.
Estimate retained SPY-up and SPY-down sessions separately. Missing fits remain unknown.