Equity market volatility declined during the March IMX period

TD Ameritrade, Inc. (“TD Ameritrade”), a broker-dealer subsidiary of TD Ameritrade Holding Corporation (Nasdaq:AMTD), is today releasing the Investor Movement Index® reading for March 2016. The Investor Movement Index, or the IMXSM, is a proprietary, behavior-based index created by TD Ameritrade that aggregates Main Street investor positions and activity to measure what investors are actually doing and how they are positioned in the markets.

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TD Ameritrade's IMX vs. S&P 500 (Photo: TD Ameritrade).

The March 2016 Investor Movement Index for the four weeks ending March 25, 2016, reveals:

  • Reading: 4.33 (compared to 4.44 in February)
  • Trend direction: Negative
  • Trend length: 3 months
  • Score relative to historic ranges: Moderately Low

The IMX decreased to 4.33 as clients were net sellers.

Equity market volatility declined as the markets rallied during the March IMX period. Many of the widely held positions in TD Ameritrade client accounts saw their volatility relative to the overall equity market remain stable or decline slightly. This activity, coupled with net selling of equities, resulted in a decrease in the IMX.

The major equity market indices all saw gains during the March IMX period. The S&P 500, NASDAQ Composite, and Russell 2000 each gained around 4%, while the Dow Jones Industrial Average was up more than 5%. The gains in the equity market coincided with reduced market volatility. The VIX, which measures the volatility of the S&P 500, trended downward throughout the month and, near the end of the period, closed below 14 for the first time since before the spike in volatility that occurred in late August 2015. Crude oil prices also rallied in March, closing the period near a year-to-date high. The commodity also briefly traded above $40 a barrel for the first time since early December. The March meeting of the Federal Reserve Board resulted in no change to the target of their key rate, and the equity markets appeared to anticipate the lack of change: Overall market volatility saw little change upon the announcement.

“Clients were net buyers over the last few months while their core positions saw relatively lower volatility than the broad U.S. equity market which had been under pressure,” said Nicole Sherrod, managing director of trading, TD Ameritrade. “Equity markets have since rallied over the last month or so to near year-to-date highs. It appears that many clients treated the rally as an opportunity to sell equities and dial back their exposure.”

Despite being net sellers of equities overall, TD Ameritrade clients did find some names to buy in March. Chesapeake Energy Corp. (CHK) and Kinder Morgan Inc. (KMI) were both net buys in the basic materials sector. Kinder Morgan has been largely range bound after setting a year-to-date high in February. Chesapeake Energy has rebounded from a low set in February when the price of crude oil hit a new low. Walt Disney Co. (DIS) is widely held at TD Ameritrade and has been a popular net buy with TD Ameritrade clients in recent months as the stock has been under pressure. Recently the stock price of Walt Disney Co. (DIS) has been range bound as volatility has declined. Facebook Inc. (FB), which is also widely held by TD Ameritrade clients, has trended upward since mid-February after its earnings announcement. The stock has rebounded to near its 52-week high and was also a net buy in March.

Retailers in the service sector Ali Baba Holdings (BABA) and Target Corp. (TGT) were both net sold in March. Both have rebounded from lows in February, with Target nearly reaching its 52-week high. United States Steel Corp. (X) is another name that has recently seen a rebound in price and was net sold by TD Ameritrade clients. The stock had been range bound since November but moved sharply higher following the announcement of tariffs on some Chinese steel imports. JC Penney Co. (JCP) was net sold after it posted better-than-expected earnings in late February and saw its share price reach a new 52-week high in March.

The IMX value is calculated based on a complex proprietary formula. Each month, TD Ameritrade pulls a sample from its client base of 6 million funded accounts that includes all accounts that completed a trade in the past month. The holdings and positions of this statistically significant sample are evaluated to calculate individual scores, and the median of those scores represents the monthly IMX.

For more information on the Investor Movement Index, including historical IMX data going back to December 2010, to view the full report from March 2016, or to sign up for future IMX news alerts, please visit www.tdameritrade.com/IMX. Additionally, TD Ameritrade clients can chart the IMX using the symbol $IMX in either the thinkorswim® or TD Ameritrade Mobile Trader platforms.

Inclusion of specific security names in this commentary does not constitute a recommendation from TD Ameritrade to buy, sell, or hold.

Past performance of a security, strategy or index is no guarantee of future results or investment success.

Historical data should not be used alone when making investment decisions. Please consult other sources of information and consider your individual financial position and goals before making an independent investment decision.

The IMX is not a tradable index. The IMX should not be used as an indicator or predictor of future client trading volume or financial performance for TD Ameritrade.

For the latest TD Ameritrade news and information, follow the Company on Twitter, @TDAmeritradePR.

Source: TD Ameritrade Holding Corporation

About TD Ameritrade Holding CorporationMillions of investors and independent registered investment advisors (RIAs) have turned to TD Ameritrade’s (Nasdaq: AMTD) technology, people and education to help make investing and trading easier to understand and do. Online or over the phone. In a branch or with an independent RIA. First-timer or sophisticated trader. Our clients want to take control, and we help them decide how — bringing Wall Street to Main Street for more than 40 years. An official sponsor of the 2014 and 2016 U.S. Olympic and Paralympic Teams, TD Ameritrade has time and again been recognized as a leader in investment services. Please visit TD Ameritrade’s newsroom or www.amtd.com for more information.

Brokerage services provided by TD Ameritrade, Inc., member FINRA (www.FINRA.org)/SIPC (www.SIPC.org)

TD Ameritrade Holding CorporationFor Media:Beth Evegan, 859-331-2391Communications & Public Affairsbeth.evegan@tdameritrade.com@TDAmeritradePRorFor Investors:Jeff Goeser, 402-597-8464Investor Relations & Financejeffrey.goeser@tdameritrade.com

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