Ameritrade Investor Movement Index

I hadn't seen this new sentiment index (IMX) before - something to watch:

The Investor Movement Index®, or the IMXSM, is a proprietary, behavior-based index created by TD Ameritrade designed to indicate the sentiment of retail investors’ portfolios. It measures what investors are actually doing, and how they are actually positioned in the markets.

The IMX does this by using data including holdings/positions, trading activity, and other data from a sample of our six million funded client accounts.

We create a monthly sample from all of our retail (individual, self-directed) investor clients who have traded recently. Then we use a proprietary methodology based on the holdings and positions in each portfolio to create an individual score. The process is similar to beta weighting (a method of analysis which considers the percentage of each position in a portfolio to create a view of profit and risk), but instead relies on our proprietary models. The median of the individual scores is the overall, or official, IMX.

The overall IMX score is democratic: A large portfolio and a small portfolio will have the same influence on the score.