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Directional SPY sensitivity after trimming the most stock-specific 2% of sessions.
90D estimates against SPY
| KEYSKeysight Technologies IncTest & Measurement | 2.63 | 1.08 | +1.55 | 1.87 | 89 retained1 trimmed · 825 available |
|---|---|---|---|---|---|
| VIAVViavi Solutions IncTest & Measurement | 1.85 | 2.36 | -0.52 | 2.87 | 89 retained1 trimmed · 825 available |
| EMREmerson Electric CompanyTest & Measurement | 1.39 | 1.36 | +0.03 | 1.66 | 89 retained1 trimmed · 825 available |
| AMEAmetek IncTest & Measurement | 1.38 | 0.87 | +0.51 | 1.14 | 89 retained1 trimmed · 825 available |
| RALRalliant Corporation Common StockTest & Measurement | 1.27 | 0.89 | +0.37 | 1.08 | 89 retained1 trimmed · 301 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.