GLOSSARY · DIVERGENCE
ACRI
AI Concentration Risk Index
DEFINITION
A composite index measuring equity market concentration risk using publicly available SPY ETF holdings data. Higher scores indicate elevated concentration — meaning a small number of stocks dominate index returns, creating asymmetric downside risk.
Components & Weights
Top-Heavy Concentration (HHI)
Herfindahl-Hirschman Index deviation from 5-year average. Measures how much more concentrated the index is than its historical norm.
Analyst Target Dispersion
Standard deviation of Wall Street year-end S&P 500 targets. Wide range = high institutional disagreement about forward returns.
Sector Imbalance
Technology sector weight deviation from equal-weight benchmark. Captures the AI/mega-cap dominance risk specifically.
Reproducible Formulas
HHI (Herfindahl-Hirschman Index)
HHI = Σ(wᵢ²) × 10,000
Effective N
Effective N = 1 / Σ(wᵢ²) = 10,000 / HHI
where wᵢ = weight of holding i as a decimal (e.g., 7.12% → 0.0712). Effective N represents the number of equally-weighted stocks that would produce the same HHI. A lower Effective N means the index is more concentrated.
Score Interpretation
| Score Range | Signal | Interpretation |
|---|---|---|
| 0–30 | Low Risk | Broad market participation; healthy breadth |
| 30–60 | Elevated Risk | Above-average concentration; monitor top holdings |
| 60–100 | High Risk | Extreme concentration; idiosyncratic risk elevated |
Data Source Note
ACRI uses SPY ETF holdings data publicly disclosed by State Street Global Advisors (SSGA), not S&P 500 index constituent data directly. SPY tracks the S&P 500 and its holdings are functionally equivalent for concentration analysis. "S&P 500®" is a trademark of S&P Global; AhaSignals is not affiliated with S&P Global. SPX approximation: SPY price × 10 (derived, not official S&P Global data).