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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| MRAMEverspin Technologies IncMemory | 6.72 | 3.05 | +3.67 | 5.68 | 89 retained1 trimmed · 825 available |
|---|---|---|---|---|---|
| SKHYSK Hynix Inc. American Depositary SharesMemory | 6.23 | -0.13 | +6.36 | 3.90 | 41 retained0 trimmed · 41 available |
| MUMicron Technology IncMemory | 4.49 | 4.15 | +0.34 | 4.08 | 89 retained1 trimmed · 825 available |
| RMBSRambus IncMemory | 4.22 | 2.79 | +1.44 | 3.86 | 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.