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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| ALABAstera Labs, Inc.Networking | 7.59 | 2.64 | +4.96 | 4.88 | 89 retained1 trimmed · 617 available |
|---|---|---|---|---|---|
| MRVLMarvell Technology Group LtdNetworking | 5.45 | 2.67 | +2.77 | 4.52 | 89 retained1 trimmed · 825 available |
| SITMSitime CorporationNetworking | 4.98 | 2.86 | +2.12 | 3.54 | 89 retained1 trimmed · 825 available |
| CRDOCredo Technology Group Holding LtdNetworking | 4.53 | 2.01 | +2.51 | 3.70 | 89 retained1 trimmed · 825 available |
| MCHPMicrochip Technology IncNetworking | 3.27 | 3.23 | +0.04 | 2.91 | 89 retained1 trimmed · 825 available |
| SILCSilicomNetworking | 2.98 | 2.01 | +0.97 | 3.54 | 89 retained1 trimmed · 825 available |
| AVGOBroadcom IncNetworking | 2.13 | 1.98 | +0.15 | 2.22 | 89 retained1 trimmed · 825 available |
| ANETArista NetworksNetworking | 2.02 | 2.85 | -0.83 | 2.33 | 89 retained1 trimmed · 825 available |
| EXTRExtreme Networks IncNetworking | 1.32 | -0.15 | +1.47 | 2.02 | 89 retained1 trimmed · 825 available |
| NOKNokia Corp ADRNetworking | 0.87 | 2.97 | -2.10 | 3.12 | 89 retained1 trimmed · 825 available |
| CSCOCisco Systems IncNetworking | 0.18 | 1.40 | -1.22 | 1.07 | 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.