First of its kind index measures monthly active investor positions against recent and historical data
OMAHA, Neb.–(BUSINESS WIRE)–TD Ameritrade, Inc. (“TD Ameritrade”), a broker dealer subsidiary of TD Ameritrade Holding Corporation (NYSE: AMTD), is today debuting a new index that provides insight into the overall sentiment of the Main Street investor. The Investor Movement IndexSM, or IMXSM, is a proprietary, behavior-based index created by TD Ameritrade, which harnesses data from one of the largest pools of American retail investors in order to lend insight into how bullish Americans may be about the market. It measures and aggregates what actions investors have recently taken, and what that positioning does to their portfolios.
“TD Ameritrade is proud to be the first and only firm to look at investor sentiment in this new way,” said Steve Quirk, senior vice president of TD Ameritrade’s trader group. “With a large, diverse pool of six million funded client accounts spanning investors of all ages, account sizes, and experience levels, we saw a unique opportunity to create a quantitative, behavior-based index that can better reflect what retail investors are actually doing.”
Many of the available indicators prior to the Investor Movement Index weren’t based on behavior, but instead based on opinion-based surveys. When combined with surveys, the IMX can provide a more complete snapshot of retail investor sentiment.
The index value is calculated based on a comprehensive, proprietary formula in which the holdings and positions of a statistically significant sample of accounts are evaluated to arrive at individual scores. The median of the individual scores represents the IMX.
“The purpose of the Investor Movement Index is to harness our vast amount of retail client behavior data to show, over time, how this group reacts to market events,” continued Quirk.
The first official Investor Movement Index data is for December 2012. Past IMX scores going back to January 2010 are available. Each future release will include the overall score and commentary. Data for a given month will be made available between the 6th and 8th business day of the following month. (For example: The Investor Movement Index for March 2013 would be issued on April 8th, 9th or 10th).
The December 2012 (as of December 28th) Investor Movement Index reveals:
- Score: 4.94
- Trend Direction: Positive
- Trend Length: 1 month
- Score relative to historic ranges: Moderately High
In December 2012, the S&P 500 was well above the highs seen in 2011. The IMX, however, has been slower to recover as client portfolios have indicated more cautious allocations than in past equity market rallies.
The IMX increased in December 2012 after remaining flat from October 2012 to November 2012, moving to the upper end of the 3-year range at 4.94. The last time the IMX climbed to the 4.94 level was in January of 2011, when both the S&P 500 and the IMX continued their upward trend. Over the last 6 months clients have increased their cash allocations, which typically are seen as an effort to reduce equity market exposure.
However, market forces and specific buying activity were more powerful than cash movements, causing the IMX to rise. Clients, in general, tended to buy or hold securities with an increased level of volatility relative to the S&P 500, which in turn increased their overall level of equity market exposure. For example, Apple’s (AAPL) volatility relative to the equity market increased in December, and our clients were net buyers of Apple shares – both of these factors helped the IMX move higher.
Historical data should not be used alone when making investment decisions.