Aggregated price index with volume information
- Food: Major Diversified stocks down 0.6% on average while median return down 0.7% in a day
- Food: Major Diversified stocks up 4.5% on average while median return up 2.1% in a week
- Food: Major Diversified stocks up 5.8% on average while median return up 3.0% 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 $BYND 26.6%, $KHC 7.7%, $SMPL 6.6%, $BGS 5.8%, $CAG 3.4%
- 1M losers are : Losers for past month are $CPB -1.5%, $GIS -1.9%, $THS -2.8%
- 1W winners are : Winners for past week are $BYND 32.5%, $THS 3.2%, $BGS 2.9%, $SMPL 2.3%, $KHC 2.1%
- 1W losers are : Losers for past week are $CPB -0.2%, $MDLZ -1.0%
Index correlation analysis
Correlation for the past month is 37.3%, for the past 3 months is 41.7%
In the past month for a 5 days rolling window, the highest corrrelation is 66.2%, the lowest correlation is -8.6%, the latest correlation is 66.2%
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 76.8% between CAG and K
The lowest correlation is 1.5% between BYND and MDLZ
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