Aggregated price index with volume information
Summary:
- Transportation stocks up 0.2% on average while median return up 0.5% in a day
- Transportation stocks up 0.2% on average while median return up 0.5% in a week
- Transportation stocks up 2.2% on average while median return up 1.9% 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 $SMHI 33.4%, $NMM 24.9%, $FDX 18.6%, $VRRM 15.7%, $JBLU 15.6%
- 1M losers are : Losers for past month are $PTSI -10.1%, $LUV -15.3%, $FWRD -20.5%, $SAVE -25.4%, $ODFL -49.4%
- 1W winners are : Winners for past week are $OMAB 12.4%, $FDX 9.4%, $PAC 8.7%, $DLNG 8.5%, $FWRD 8.2%
- 1W losers are : Losers for past week are $ZTO -3.4%, $UPS -4.3%, $BEST -4.8%, $AZUL -9.4%, $ODFL -50.7%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 11.6%, for the past 3 months is 10.3%
In the past month for a 5 days rolling window, the highest corrrelation is 20.1%, the lowest correlation is 0.4%, the latest correlation is 17.2%
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 86.2% between CMRE and DAC
The lowest correlation is -53.4% between ASC and EDRY
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