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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| AMSCAmerican Superconductor CorporationGrid Infrastructure | 4.40 | 2.05 | +2.35 | 3.65 | 89 retained1 trimmed · 825 available |
|---|---|---|---|---|---|
| PLPCPreformed Line Products CompanyGrid Infrastructure | 3.63 | 1.27 | +2.35 | 2.75 | 89 retained1 trimmed · 825 available |
| AZZAZZ IncorporatedGrid Infrastructure | 1.61 | 1.01 | +0.60 | 1.41 | 89 retained1 trimmed · 825 available |
| VMIValmont Industries IncGrid Infrastructure | 1.06 | 0.75 | +0.31 | 1.32 | 89 retained1 trimmed · 825 available |
| HUBBHubbell IncGrid Infrastructure | 0.84 | 1.06 | -0.22 | 1.05 | 89 retained1 trimmed · 825 available |
| ITRIItron IncGrid Infrastructure | 0.15 | 0.72 | -0.57 | 1.01 | 89 retained1 trimmed · 825 available |
| FEFirstEnergy CorporationGrid Infrastructure | -0.11 | -0.26 | +0.15 | -0.34 | 89 retained1 trimmed · 825 available |
| PPLPPL CorporationGrid Infrastructure | -0.28 | -0.04 | -0.24 | -0.20 | 89 retained1 trimmed · 825 available |
| EXCExelon CorporationGrid Infrastructure | -0.51 | -0.30 | -0.21 | -0.40 | 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.