Aggregated price index
Aggregated price index with volume information
- Mortgage Reits stocks up 0.7% on average while median return up 0.6% in a day
- Mortgage Reits stocks up 0.5% on average while median return up 1.1% in a week
- Mortgage Reits stocks up 1.7% on average while median return up 0.5% 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 $PW 27.0%, $MTG 12.5%, $ESNT 12.0%, $RDN 10.6%, $XLF 10.5%
- 1M losers are : Losers for past month are $BXMT -4.2%, $MITT -5.6%, $CHMI -7.6%, $NRO -9.2%, $WMC -10.0%
- 1W winners are : Winners for past week are $DRN 4.9%, $JRS 4.1%, $XAN 3.8%, $ARI 3.8%, $LADR 3.6%
- 1W losers are : Losers for past week are $WMC -3.2%, $PCH -3.4%, $EARN -3.9%, $DRV -5.5%, $PW -13.8%
Index correlation analysis
Correlation for the past month is 40.7%, for the past 3 months is 42.4%
In the past month for a 5 days rolling window, the highest corrrelation is 59.8%, the lowest correlation is 12.4%, the latest correlation is 41.7%
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 99.1% between ICF and IYR
The lowest correlation is -99.6% between DRN and DRV
Halper Sadeh LLP, a global investor rights law firm, announces it is investigating the following companies:
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