Transactional Liquidity

Liquidity measures that proxy Order Book Depth

Daily Dollar Range (Percentage Rank of)

A Metric used by hedge fund manager Jaffray Woodrif of QIM to evaluate risk in the portfolio. Daily Dollar Range is calculated as the (High of the Day / Low of the Day)/(Volume * Price).

This metric is calculated as a the current value ranked over the prior n-periods.

This metric can be used in conjuction with the liquidity measure as a way to measure intraday liquidity, an advantage over a close to close measure which may have a wide daily trading range, but small day over day return.

A low value indicates low liquidity, while a high value indicates higher liquidity (at the transactional level).

Liquidity Measure (Percentage Rank of)

This measure of liquidity is a mesaure that is adapted from Amihud’s liquidity measure averages the daily ratio of absolute closeto-close return to dollar volume, including overnight returns, while trading volumes come from regular hours.

This metric is calculated as a the current value ranked over the prior n-periods.

A low value indicates high liquidity, while a high value indicates lower liquidity (at the transactional level). In other words, a value that is a implies a large absolute close to close return, but relatively low volume comparatively.