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 IMX
, 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
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
are available. Each future release will include the overall score and commentary. Data for a given month will be made available between the 6
business day of the following month. (For example: The Investor Movement Index for March 2013 would be issued on April 8
The December 2012 (as of December 28
) 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.