Aggregated price index with volume information
Summary:
- The momentum of the sector is very strong.
- Pharmaceuticals: Major stocks up 1.8% on average while median return up 1.6% in a day
- Pharmaceuticals: Major stocks up 5.3% on average while median return up 3.9% in a week
- Pharmaceuticals: Major stocks up 16.8% on average while median return up 15.0% 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 $ANVS 97.1%, $ORIC 79.5%, $GTHX 73.8%, $IGMS 67.1%, $AQST 57.9%
- 1M losers are : Losers for past month are $ALLK -13.7%, $LUMO -20.1%, $IMAB -20.5%, $PRPH -24.4%, $APM -26.0%
- 1W winners are : Winners for past week are $ALLK 32.6%, $ACET 28.2%, $LUMO 22.6%, $GBIO 21.9%, $AQST 19.4%
- 1W losers are : Losers for past week are $LLY -6.2%, $CYCN -6.8%, $TARS -7.5%, $ASRT -8.2%, $IMRN -8.8%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 15.7%, for the past 3 months is 9.4%
In the past month for a 5 days rolling window, the highest corrrelation is 22.2%, the lowest correlation is -1.6%, the latest correlation is 7.1%
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 72.5% between ACET and ALLK
The lowest correlation is -53.5% between ABBV and ATNX
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