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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| SNDKSandisk CorpStorage | 7.57 | 3.31 | +4.26 | 4.53 | 89 retained1 trimmed · 391 available |
|---|---|---|---|---|---|
| WDCWestern Digital CorporationStorage | 5.63 | 2.04 | +3.59 | 3.51 | 89 retained1 trimmed · 825 available |
| SIMOSilicon Motion TechnologyStorage | 4.19 | 1.77 | +2.43 | 3.00 | 89 retained1 trimmed · 825 available |
| STXSeagate Technology PLCStorage | 3.22 | 1.03 | +2.19 | 2.53 | 89 retained1 trimmed · 825 available |
| PEverpure, Inc.Storage | 2.25 | 2.70 | -0.46 | 2.71 | 89 retained1 trimmed · 825 available |
| QMCOQuantum CorporationStorage | 1.86 | 3.43 | -1.57 | 3.31 | 89 retained1 trimmed · 825 available |
| NTAPNetApp IncStorage | 0.31 | 1.75 | -1.44 | 1.28 | 89 retained1 trimmed · 825 available |
| NTNXNutanix IncStorage | -0.55 | 0.61 | -1.16 | 0.61 | 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.