Aggregated price index with volume information
Summary:
- Building Products stocks up 3.0% on average while median return up 3.2% in a day
- Building Products stocks up 4.8% on average while median return up 6.1% in a week
- Building Products stocks up 15.5% on average while median return up 15.0% 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 $IBP 34.4%, $JELD 30.4%, $AMWD 29.0%, $BLDR 22.5%, $BLD 22.3%
- 1M losers are : Losers for past month are $OTIS -2.4%, $ASPN -14.5%
- 1W winners are : Winners for past week are $AMWD 12.1%, $IBP 10.4%, $ALLE 10.2%, $APOG 9.7%, $NX 9.1%
- 1W losers are : Losers for past week are $AOS -4.0%, $OTIS -4.3%, $PFIE -4.8%, $ASPN -10.1%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 42.9%, for the past 3 months is 37.2%
In the past month for a 5 days rolling window, the highest corrrelation is 61.0%, the lowest correlation is 24.6%, the latest correlation is 48.9%
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 95.3% between BLD and IBP
The lowest correlation is -41.5% between PGTI and PLPC
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