US: TD Ameritrade IMX


Mon Dec 04 11:30:00 CST 2017

Actual Previous
Level 8.53 7.40

Highlights
Boosted by net buying and higher relative volatility, the IMX saw its largest single-month increase ever in November, increasing over 15 percent to hit an all-time high of 8.53. TD Ameritrade clients were net buyers for a 10th consecutive month, positioning their accounts for more exposure to equity markets. Lower overall volatility in the S&P 500 had the effect of increasing relative volatility of many widely held names, including Apple and General Electric.

Definition
The Investor Movement Index, (or the IMX), is a proprietary, behavior-based index created by TD Ameritrade designed to provide insight into Main Street sentiment. The IMX measures what investors are actually doing, and how they are actually positioned in the markets. The IMX does this by using data representing the holdings/positions, trading activity and other data from an anonymous sample from six million funded accounts. These data are used to create a snapshot that can be monitored over time, or compared to other market indicators, to suggest the current sentiment of the real portfolios held by retail investors.

Description
Wall Street often looks to TD Ameritrade, one of the largest online brokerage firms for insight into the mood, sentiment, and behavior of retail investors. Up to now, Wall Street has largely relied on opinion surveys - which measure what investors are thinking or what they're saying - to provide this information. With six million funded client accounts spanning investors of all ages, account sizes, and experience levels, TD Ameritrade is in a unique position to offer a quantitative, behavior-based index that can better reflect what investors are actually doing.

Importance
The IMX can provide insight into whether investors are growing more bullish or bearish on equities.

Interpretation
The IMX measures the level of exposure of Retail Investor Portfolios to the U.S. equity market. The IMX has not been indexed to a specific year or normalized. Scores should be viewed in the context of historic ranges and recent trends. When reviewing month over month results and trends over time it's most important to put IMX values into context by considering historical ranges. For example, the historical range can be put into 5 quintiles - High, Moderately High, Neutral, Moderately Low and Low. The higher the score is the more bullish the level. Other important considerations include recent trends up/down and the duration of trends.