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Permian Producers and Pipelines$64.06
-2.04%4:00PM 10/19/2020
The Permian Basin is a large sedimentary basin in the southwestern part of the United States. The basin contains the Mid-Continent Oil Field province. This sedimentary basin is located in western Texas and southeastern New Mexico.

Aggregated price index

Aggregated price index with volume information

Summary:

  • Permian Producers and Pipelines stocks down 2.0% on average while median return down 1.8% in a day
  • Permian Producers and Pipelines stocks down 4.2% on average while median return down 3.2% in a week
  • Permian Producers and Pipelines stocks down 8.2% on average while median return down 8.2% 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 is based on equal weighted constituencies returns,Aggregated volume information is based on sum of all constituencies volumes

Index Constituencies
  • 1M winners are : Winners for past month are $AR 25.9%, $ARES 12.3%, $MCF 2.3%, $TRGP 0.2%
  • 1M losers are : Losers for past month are $OXY -17.1%, $PSX -18.9%, $LPI -24.6%, $APA -27.1%, $SM -28.3%
  • 1W winners are : Winners for past week are $CXO 5.6%, $ARES 2.5%, $PAA 1.3%, $PAGP 0.6%, $XEC 0.5%
  • 1W losers are : Losers for past week are $LPI -9.1%, $DVN -10.2%, $FANG -10.2%, $SM -11.1%, $WPX -11.3%
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Correlation Analysis

Index correlation analysis

Correlation for the past month is 58.4%, for the past 3 months is 53.6%

In the past month for a 5 days rolling window, the highest corrrelation is 72.5%, the lowest correlation is 27.2%, 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 99.0% between PAA and PAGP

The lowest correlation is -49.4% between AR and NBL

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