Aggregated price index
Aggregated price index with volume information
- Oil Refining/Marketing stocks down 2.7% on average while median return down 2.8% in a day
- Oil Refining/Marketing stocks up 5.4% on average while median return up 3.4% in a week
- Oil Refining/Marketing stocks up 6.6% on average while median return up 7.3% 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 $DK 27.3%, $CVI 22.6%, $WES 14.9%, $TRGP 9.4%, $PBFX 9.0%
- 1M losers are : Losers for past month are $NS -0.1%, $TGS -6.0%, $UGP -7.1%, $AE -9.5%
- 1W winners are : Winners for past week are $PBF 21.6%, $DK 19.3%, $CVI 14.1%, $ENBL 12.8%, $HFC 11.1%
- 1W losers are : Losers for past week are $TGS -0.9%, $PARR -2.5%, $UGP -7.1%
Index correlation analysis
Correlation for the past month is 48.0%, for the past 3 months is 51.8%
In the past month for a 5 days rolling window, the highest corrrelation is 76.0%, the lowest correlation is 12.2%, the latest correlation is 67.8%
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 89.0% between MPC and VLO
The lowest correlation is -6.8% between DK and UGP
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