Aggregated price index with volume information
Summary:
- Consumer Non-Durables stocks up 1.8% on average while median return up 1.5% in a day
- Consumer Non-Durables stocks up 1.5% on average while median return up 1.7% in a week
- Consumer Non-Durables stocks up 2.1% on average while median return up 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 $HBI 27.4%, $RVLV 20.1%, $TPB 18.7%, $VGR 18.5%, $IPAR 18.4%
- 1M losers are : Losers for past month are $CELH -15.1%, $LEVI -22.7%, $NKE -22.9%, $PRPH -24.4%, $LW -32.5%
- 1W winners are : Winners for past week are $VNCE 24.5%, $HBI 13.7%, $IPAR 11.3%, $CAL 9.8%, $NATR 9.1%
- 1W losers are : Losers for past week are $GOOS -6.6%, $UTZ -7.4%, $USNA -7.9%, $UG -10.8%, $LW -26.8%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 18.1%, for the past 3 months is 13.1%
In the past month for a 5 days rolling window, the highest corrrelation is 32.5%, the lowest correlation is 3.8%, the latest correlation is 24.5%
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 99.2% between CENT and CENTA
The lowest correlation is -48.8% between BRFH and CHD
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