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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| GLWCorning IncorporatedConnectivity | 5.73 | 1.86 | +3.87 | 3.82 | 89 retained1 trimmed · 825 available |
|---|---|---|---|---|---|
| TTMITTM Technologies IncConnectivity | 4.49 | 1.40 | +3.09 | 3.39 | 89 retained1 trimmed · 825 available |
| APHAmphenol CorporationConnectivity | 2.30 | 1.52 | +0.78 | 1.45 | 89 retained1 trimmed · 825 available |
| BDCBelden IncConnectivity | 2.00 | 1.48 | +0.52 | 2.00 | 89 retained1 trimmed · 825 available |
| UNITUniti Group IncConnectivity | 1.56 | -0.53 | +2.09 | 1.26 | 89 retained1 trimmed · 825 available |
| TELTE Connectivity LtdConnectivity | 1.46 | 1.50 | -0.04 | 1.40 | 89 retained1 trimmed · 825 available |
| LUMNLumen Technologies IncConnectivity | 1.38 | 2.46 | -1.07 | 2.39 | 89 retained1 trimmed · 825 available |
| OCCOptical Cable CorporationConnectivity | 0.59 | -0.05 | +0.64 | 2.13 | 89 retained1 trimmed · 825 available |
| CCOICogent Communications Group IncConnectivity | 0.54 | 2.80 | -2.25 | 1.27 | 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.