The Capital Spectator’s S&P 500 Sentiment Momentum Index is designed to measure the directional bias and relative level of bullish and bearish strength via the US stock market. The index is calculated based on the mean of Z-scores for the following components:

* 3-month return for S&P 500
* 6-month return for S&P 500
* 1-year return for return for S&P 500
* performance spread for S&P 500’s 20- and 100-day moving averages
* performance spread for S&P 500’s 50- and 200-day moving averages
* S&P 500’s rolling 60-day (3-month) return volatility
* S&P 500 less 200-day moving average