Aggregated price index with volume information
Summary:
- Pharmaceuticals: Major stocks down 1.6% on average while median return down 1.7% in a day
- Pharmaceuticals: Major stocks down 1.5% on average while median return down 1.0% in a week
- Pharmaceuticals: Major stocks down 13.5% on average while median return down 12.1% 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 $VRCA 25.0%, $OPK 20.8%, $ANVS 15.4%, $HCM 14.1%, $MDWD 13.5%
- 1M losers are : Losers for past month are $ORIC -43.0%, $LTRN -45.6%, $PRFX -53.9%, $OCUL -54.3%, $GRTS -70.5%
- 1W winners are : Winners for past week are $ANVS 38.1%, $HCM 16.1%, $PRAX 13.5%, $PDSB 12.4%, $TARA 10.9%
- 1W losers are : Losers for past week are $CKPT -11.3%, $AQST -12.7%, $NRIX -14.4%, $ORIC -19.3%, $OCUL -28.3%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 9.8%, for the past 3 months is 10.6%
In the past month for a 5 days rolling window, the highest corrrelation is 17.3%, the lowest correlation is 0.6%, the latest correlation is 12.3%
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 64.4% between ACIU and CMPX
The lowest correlation is -63.0% between APM and BCYC
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