Aggregated price index with volume information
Summary:
- Real Estate Investment Trusts stocks up 1.5% on average while median return up 1.2% in a day
- Real Estate Investment Trusts stocks up 3.4% on average while median return up 3.6% in a week
- Real Estate Investment Trusts stocks down 4.2% on average while median return down 2.8% 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 $BHR 44.6%, $MPW 13.2%, $RHE 13.0%, $NXRT 8.6%, $HR 8.0%
- 1M losers are : Losers for past month are $REXR -14.1%, $NYC -14.4%, $TCI -18.2%, $PLD -18.5%, $SACH -29.1%
- 1W winners are : Winners for past week are $HCP 23.2%, $BHR 10.7%, $TRTX 10.6%, $PDM 9.4%, $ABR 9.4%
- 1W losers are : Losers for past week are $TCI -4.0%, $AHT -4.5%, $IHT -6.5%, $FR -7.9%, $PLD -8.6%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 47.0%, for the past 3 months is 36.5%
In the past month for a 5 days rolling window, the highest corrrelation is 76.2%, the lowest correlation is 22.9%, the latest correlation is 23.8%
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 93.6% between AGNC and ARR
The lowest correlation is -41.2% between BFS and BRMK
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BETHESDA, Md., April 23, 2024--Pebblebrook Hotel Trust Reports First Quarter 2024 Results