Aggregated price index with volume information
Summary:
- Construction stocks up 2.9% on average while median return up 2.8% in a day
- Construction stocks up 4.5% on average while median return up 4.2% in a week
- Construction stocks up 13.6% on average while median return up 12.8% 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 $HOV 54.5%, $MHO 39.3%, $IBP 34.4%, $GRBK 32.1%, $CCS 28.4%
- 1M losers are : Losers for past month are $FIX -1.2%, $EME -1.2%, $APG -1.5%, $STRL -2.4%, $PWR -3.7%
- 1W winners are : Winners for past week are $EVH 20.2%, $HOV 19.6%, $MHO 11.7%, $IBP 10.4%, $TPC 9.9%
- 1W losers are : Losers for past week are $PWR -0.7%, $AMRC -2.0%, $KBR -2.8%, $ELTK -2.8%, $IESC -2.9%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 50.4%, for the past 3 months is 38.6%
In the past month for a 5 days rolling window, the highest corrrelation is 61.4%, the lowest correlation is 9.6%, the latest correlation is 57.7%
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 96.4% between CCS and KBH
The lowest correlation is -19.0% between AENZ and AMRC
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