Aggregated price index with volume information
Summary:
- Distribution Services stocks up 0.3% on average while median return up 0.2% in a day
- Distribution Services stocks up 1.6% on average while median return up 0.5% in a week
- Distribution Services stocks up 2.3% on average while median return up 3.4% 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 $DXPE 52.5%, $GRWG 38.8%, $WCC 17.3%, $BECN 16.2%, $HLF 15.7%
- 1M losers are : Losers for past month are $MPAA -9.8%, $LTRX -11.9%, $SDIG -12.6%, $NUZE -24.1%, $UNFI -26.4%
- 1W winners are : Winners for past week are $GRWG 41.6%, $AE 16.2%, $ACET 15.2%, $HLF 10.3%, $ASPN 9.8%
- 1W losers are : Losers for past week are $POOL -3.7%, $UNFI -5.5%, $SITE -6.1%, $GLP -9.0%, $NUZE -10.4%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 12.8%, for the past 3 months is 12.1%
In the past month for a 5 days rolling window, the highest corrrelation is 26.2%, the lowest correlation is 1.2%, the latest correlation is 17.6%
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 79.4% between ARW and AVT
The lowest correlation is -45.6% between GWW and HLF
In this piece, we will take a look at the 13 high growth value stocks to invest in according to Seth Klarman. If you want to skip our overview of value stocks and an introduction to Klarman’s investing history, then you can skip ahead and take a look at the 5 High Growth Value Stocks […]
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