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Pharmaceuticals: Major Stocks$178.80
2.17%4:00PM 11/27/2020

Summary:

  • Pharmaceuticals: Major stocks up 2.2% on average while median return up 1.7% in a day
  • Pharmaceuticals: Major stocks up 3.7% on average while median return up 2.6% in a week
  • Pharmaceuticals: Major stocks up 17.5% on average while median return up 10.1% 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

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leak data

  • 1M winners are : Winners for past month are $UROV 97.7%, $GBIO 88.0%, $IMRA 81.9%, $OCUL 79.8%, $CVAC 72.4%
  • 1M losers are : Losers for past month are $EDSA -15.0%, $HSTO -21.4%, $BYSI -25.7%, $AYLA -25.7%, $LQDA -29.0%
  • 1W winners are : Winners for past week are $IMRA 41.1%, $GBIO 35.0%, $ARCT 28.0%, $OCUL 26.8%, $APRE 26.1%
  • 1W losers are : Losers for past week are $ADXN -7.9%, $IMAB -8.8%, $SBPH -9.0%, $LQDA -10.9%, $GRAY -12.2%
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Correlation Analysis

Index correlation analysis

Correlation for the past month is 11.1%, for the past 3 months is 12.6%

In the past month for a 5 days rolling window, the highest corrrelation is 22.3%, the lowest correlation is -0.5%, the latest correlation is 10.8%

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 73.3% between ALRN and ANVS

The lowest correlation is -51.1% between AKCA and APM

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