Aggregated price index with volume information
Summary:
- Aerospace & Defense stocks up 1.7% on average while median return up 0.8% in a day
- Aerospace & Defense stocks up 2.9% on average while median return up 2.6% in a week
- Aerospace & Defense stocks down 0.9% on average while median return down 2.6% in a month
- When average return is significantly different from median return, this implies an asymmetry - composite return is driven by some outliners.
Aggregated price index (close) is based on equal weighted constituencies returns. Average short volume and average total volumes are averaged across all volume data among constituencies.
- 1M winners are : Winners for past month are $AIRI 25.8%, $CODA 18.0%, $CVU 16.2%, $AIR 13.4%, $DCO 6.9%
- 1M losers are : Losers for past month are $HXL -11.9%, $ATRO -12.4%, $TDY -12.7%, $BA -12.9%, $SPCE -39.2%
- 1W winners are : Winners for past week are $AIRI 18.5%, $CODA 11.9%, $GE 9.7%, $ERJ 9.2%, $TGI 6.6%
- 1W losers are : Losers for past week are $PKE -2.9%, $KVHI -3.2%, $ASTC -4.4%, $TDY -6.7%, $TXT -7.3%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 12.4%, for the past 3 months is 7.7%
In the past month for a 5 days rolling window, the highest corrrelation is 27.6%, the lowest correlation is 3.4%, the latest correlation is 6.2%
When a correlation deviated from the normal level and goes lower or even negative, it indicates some of stocks have deviated from the normal direction of the group. The deviation could reverse if long term level of correlation was at a higher level. It creates trading opportunities and deserves study whether the deviation is idiosyncratic or systematic.
Among pairwise correlation, the highest correlation is 72.6% between AVAV and CAE
The lowest correlation is -56.5% between HEI and MICT
The stock market rebounded this week fueled by big-cap earnings winners Microsoft, Tesla, Google, GE and Chipotle. Meta was a notable loser.
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