Aggregated price index with volume information
Summary:
- The momentum of the sector is very strong.
- Specialty Insurance stocks up 2.4% on average while median return up 1.9% in a day
- Specialty Insurance stocks up 5.3% on average while median return up 4.6% in a week
- Specialty Insurance stocks up 11.1% on average while median return up 12.6% 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 $STC 22.9%, $RDN 21.0%, $TRUP 20.9%, $TIPT 19.7%, $IGIC 19.7%
- 1M losers are : Losers for past month are $PRA -5.2%, $MBI -11.5%
- 1W winners are : Winners for past week are $IGIC 10.9%, $TRUP 9.2%, $TIPT 9.0%, $COOP 7.4%, $ITIC 6.9%
- 1W losers are : Losers for past week are
Correlation Analysis
Index correlation analysis
Correlation for the past month is 47.2%, for the past 3 months is 35.7%
In the past month for a 5 days rolling window, the highest corrrelation is 70.8%, the lowest correlation is 15.7%, the latest correlation is 57.5%
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 95.4% between MTG and RDN
The lowest correlation is -3.2% between IGIC and MBI
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