Aggregated price index with volume information
Summary:
- Restaurants stocks up 3.2% on average while median return up 2.6% in a day
- Restaurants stocks up 1.8% on average while median return up -0.2% in a week
- Restaurants stocks up 2.8% on average while median return up 2.3% 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 $DAVE 55.8%, $STKS 23.7%, $KRUS 22.8%, $RAVE 16.8%, $BDL 11.0%
- 1M losers are : Losers for past month are $PBPB -10.9%, $FAT -11.1%, $FRSH -13.4%, $RRGB -14.2%, $NDLS -25.7%
- 1W winners are : Winners for past week are $RAVE 14.4%, $BDL 13.4%, $DAVE 13.0%, $RRGB 12.9%, $KRUS 10.8%
- 1W losers are : Losers for past week are $PLAY -3.3%, $DRI -4.4%, $SHAK -4.5%, $BH -5.4%, $PZZA -7.7%
Correlation Analysis
Index correlation analysis
Correlation for the past month is 13.4%, for the past 3 months is 16.9%
In the past month for a 5 days rolling window, the highest corrrelation is 21.2%, the lowest correlation is -1.8%, the latest correlation is 18.2%
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 76.5% between BJRI and CAKE
The lowest correlation is -63.3% between DAVE and FAT
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