semi foundry idm

Measures how strong the group is now. Higher values mean the current trend and relative position rank more favorably versus the same group’s causal history.

• Trend subgroup: 21-, 63- and 126-session returns plus multi-window trend consistency.
• Relative subgroup: 21-session performance versus SPY, QQQ and the Section benchmark.
• Position subgroup: shares above the 50- and 200-session moving averages plus distance from the 252-session high.
• Features are causal-percentile normalized, averaged inside each subgroup, then the available subgroups are equally combined.

Measures whether the group’s internal state is improving or deteriorating. Higher values mean improvement is occurring more rapidly relative to its own history.

• Momentum subgroup: change in the 21-session return versus one and four weeks earlier.
• Breadth subgroup: one- and four-week breadth change plus the share newly moving above the 50- and 200-session averages.
• Risk subgroup: four-week change in 63-session realized volatility; declining volatility scores more favorably.
• Features are causal-percentile normalized before subgroup and dimension aggregation.

Measures how widely performance is distributed across constituents and whether participation is diffusing beyond the largest leaders.

• Participation subgroup: shares with positive 21-session returns and shares outperforming the Section benchmark.
• Diffusion subgroup: equal-weight minus value-weight performance and Small-minus-Large performance.
• Higher means broader participation and stronger diffusion toward smaller constituents.
• Market-cap-dependent features are withheld when point-in-time market-cap evidence is insufficient; coverage records the resulting evidence gap.

An inverted structural-risk dimension built from volatility, drawdown, downside behavior, correlation and concentration.

• Volatility subgroup: 21- and 63-session realized volatility plus 63-session downside semivariance.
• Drawdown subgroup: 63- and 126-session maximum drawdown.
• Tail subgroup: 63-session return skew and average correlation on down-market days.
• Concentration subgroup: top-three absolute return contribution and return-contribution HHI.
• Adverse metrics are direction-inverted before aggregation, so higher means healthier structure and lower measured fragility.

A high value means Fragility Health is high; it does not mean fragility itself is high. The dimension is descriptive and does not eliminate tail risk.