Aggregated price index with volume information
- Wholesale Trade stocks down 1.1% on average while median return down 1.0% in a day
- Wholesale Trade stocks up 3.2% on average while median return up 3.0% in a week
- Wholesale Trade stocks up 10.6% on average while median return up 6.9% 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 $BLBX 120.7%, $RCKY 41.5%, $SKX 25.5%, $GRWG 21.1%, $RELL 18.1%
- 1M losers are : Losers for past month are $PETQ -10.2%, $DIT -11.8%, $PDCO -14.6%, $AE -16.6%, $FNKO -23.0%
- 1W winners are : Winners for past week are $CVGW 17.7%, $RELL 15.9%, $NSIT 15.1%, $ALTG 14.4%, $OMI 12.7%
- 1W losers are : Losers for past week are $AHCO -2.7%, $AE -2.9%, $NTR -3.7%, $TWIN -6.6%, $PDCO -15.4%
Index correlation analysis
Correlation for the past month is 22.9%, for the past 3 months is 19.2%
In the past month for a 5 days rolling window, the highest corrrelation is 38.0%, the lowest correlation is 10.5%, the latest correlation is 28.9%
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 89.4% between AIT and GMS
The lowest correlation is -49.7% between DIT and HDSN
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