Aggregated price index with volume information
Summary:
- Integrated Oil stocks up 0.5% on average while median return up 0.3% in a day
- Integrated Oil stocks up 2.1% on average while median return up 2.3% in a week
- Integrated Oil stocks up 10.8% on average while median return up 4.4% 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 $INDO 105.2%, $PVL 20.7%, $PBR 14.2%, $AMPY 14.2%, $HES 8.0%
- 1M losers are : Losers for past month are $HESM -2.6%, $APA -3.6%, $PRT -3.7%, $SBOW -7.6%
- 1W winners are : Winners for past week are $PVL 10.9%, $YPF 9.5%, $SBOW 6.6%, $HES 5.3%, $CVX 3.7%
- 1W losers are : Losers for past week are $PRT -0.6%, $HESM -1.2%, $XOM -1.6%, $INDO -13.5%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 20.3%, for the past 3 months is 20.0%
In the past month for a 5 days rolling window, the highest corrrelation is 46.5%, the lowest correlation is 2.5%, the latest correlation is 2.5%
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 93.9% between CVX and HES
The lowest correlation is -50.8% between EC and ESTE
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Shares of Exxon Mobil (XOM) and Chevron (CVX) are trading lower on Friday as both companies revealed a dip in first quarter revenue compared to the same period last year. However, both companies beat Wall Street revenue expectations for the quarter. While some of the forecasts for these companies are mixed, upcoming projects have the potential to turn things around. Truist Managing Director of Energy Research Neal Dingmann joins The Morning Brief to give insight into the energy sector and what i...
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