Statistics of Price Movements of Netlease Corporate Real Estate ETF (NETL)

The price movements of Netlease Corporate Real Estate ETF (ticker NETL) are summarized in five ways:

• Table 1. Statistics of daily price changes using the closing prices
• Table 2. Statistics of daily price changes using the closing and opening prices
• Table 3 – 7. Statistics of daily price changes when NETL opened with an increase of 1%, 2%, 3%, 4%, or more than 5%
• Table 8 – 10. Statistics of stock price changes in the 20 days after NETL had a big price move
• Table 11. Statistics of daily price changes in the 20 days after NETL moved 5% with twice the 30-day average volume

The statistics are calculated using NETL's price data across 450 trading days from 2019 to 2020.

Table 1. Statistics of NETL one-day price changes

In this table, the one-day price change is calculated using the closing price and the previous day's closing price.

In the past 450 trading days, 53.9% of the time (242 days), NETL closed above the previous day's closing price. 43.2% of the time (194 days), it closed below the previous day's closing price. 2.9% of the time (13 days), it did not change.

Also see: VIX price movement study.

NETL Price Change (%)	Number of Days	% of Total Sessions
12 – 13%	1	0.22%
9 – 10%	1	0.22%
8 – 9%	1	0.22%
7 – 8%	5	1.11%
6 – 7%	3	0.67%
5 – 6%	3	0.67%
4 – 5%	3	0.67%
3 – 4%	8	1.78%
2 – 3%	21	4.68%
1 – 2%	49	10.91%
0 – 1%	147	32.74%
0%	13	2.90%
0 – -1%	107	23.83%
-1 – -2%	46	10.24%
-2 – -3%	21	4.68%
-3 – -4%	4	0.89%
-4 – -5%	4	0.89%
-5 – -6%	2	0.45%
-6 – -7%	4	0.89%
-7 – -8%	1	0.22%
-8 – -9%	1	0.22%
-9 – -10%	1	0.22%
-13 – -14%	1	0.22%
-18 – -19%	1	0.22%
-22 – -23%	1	0.22%

Table 2. Statistics of NETL: Closing vs. Open

In this table, instead of using the closing price of the previous day, the opening price is used to calculate the one-day price change of NETL.

46.9% of the time (211 days), NETL closed above the opening price. 50.0% of the time (225 days), it closed below the opening price. 3.1% of the time (14 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
9 – 10%	1	0.22%
6 – 7%	2	0.44%
5 – 6%	1	0.22%
4 – 5%	3	0.67%
3 – 4%	7	1.56%
2 – 3%	8	1.78%
1 – 2%	37	8.22%
0 – 1%	152	33.78%
0%	14	3.11%
0 – -1%	150	33.33%
-1 – -2%	47	10.44%
-2 – -3%	12	2.67%
-3 – -4%	5	1.11%
-4 – -5%	4	0.89%
-5 – -6%	2	0.44%
-6 – -7%	1	0.22%
-7 – -8%	2	0.44%
-11 – -12%	1	0.22%
-16 – -17%	1	0.22%

Table 3. One-day performance when NETL opened 5% higher than previous close

In the past 450 trading days, NETL opened more than 5% higher than the previous day's closing price 5 times. Of these days, 20.0% (1 days) had closing prices above the opening price, and 80.0% (4 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
4 – 5%	1	20.00%
-1 – -2%	2	40.00%
-3 – -4%	1	20.00%
-7 – -8%	1	20.00%

Table 4. Closing vs. open when NETL opened 4–5% higher

On 5 days, NETL opened 4–5% higher than the previous day's closing price. Of these days, 60.0% (3 days) had closing prices above the opening price, and 40.0% (2 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
3 – 4%	2	40.00%
1 – 2%	1	20.00%
-1 – -2%	1	20.00%
-3 – -4%	1	20.00%

Table 5. Closing vs. open when NETL open 3 – 4% higher

8 times NETL opened 3 – 4% higher than the previous day's closing price. Among these days, 62.5% (5 days) closed above the opening price, 37.5% (3 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
3 – 4%	2	25.00%
2 – 3%	1	12.50%
1 – 2%	2	25.00%
0 – -1%	1	12.50%
-1 – -2%	2	25.00%

Table 6. Closing vs. open when NETL open 2 – 3% higher

16 times NETL opened 2 – 3% higher than the previous day's closing price. Among these days, 50.0% (8 days) closed above the opening price, 50.0% (8 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
6 – 7%	1	6.25%
4 – 5%	1	6.25%
1 – 2%	1	6.25%
0 – 1%	5	31.25%
0 – -1%	4	25.00%
-1 – -2%	1	6.25%
-2 – -3%	1	6.25%
-4 – -5%	1	6.25%
-5 – -6%	1	6.25%

Table 7. Closing vs. open when NETL open 1 – 2% higher

27 times NETL opened 1 – 2% higher than the previous day's closing price. Among these days, 55.6% (15 days) closed above the opening price, 44.4% (12 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
6 – 7%	1	3.70%
2 – 3%	1	3.70%
1 – 2%	6	22.22%
0 – 1%	7	25.93%
0 – -1%	10	37.04%
-1 – -2%	2	7.41%

Table 8. Periods when NETL moved 15% or more

In this table, we track the price movements in the 20 days after NETL had a one-day price change of at least 15%.

Date	Price Change	Price Change after 15% Move
Days after:		1	4	7	10	13	16	19
20200318	-18%	7.1	16.9	32.2	16.2	18.0	38.2	36.5
20200316	-22.3%	2.2	-7.6	5.7	10.9	-3.7	1.2	15.7

Table 8b. NETL average price changes following a 15% down day

Of the 450 trading days from 2019 to 2020, there were 2 days in which NETL was down more than -15%. This table shows the average price changes over the 2 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -15%	4.7	4.6	19.0	13.6	7.1	19.7	26.1

Table 9. Periods when NETL moved 10% or more

In this table, we track the price movements in the 20 days after NETL had a one-day price change of at least 10%.

Date	Price Change	Price Change after 10% Move
Days after:		1	4	7	10	13	16	19
20200324	12.6%	8.0	13.4	-1.6	3.5	18.3	9.6	7.0
20200312	-13%	7.8	-29.9	-27.3	-5.1	-9.7	-23.4	-11.2
20200318	-18%	7.1	16.9	32.2	16.2	18.0	38.2	36.5
20200316	-22.3%	2.2	-7.6	5.7	10.9	-3.7	1.2	15.7

Table 9a. NETL average price changes following a 10% up day

Of the 450 trading days from 2019 to 2020, there were 1 days in which NETL was up more than 10%. This table shows the average price changes over the 1 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 10%	8.0	13.4	-1.6	3.5	18.3	9.6	7.0

Table 9b. NETL average price changes following a 10% down day

Of the 450 trading days from 2019 to 2020, there were 3 days in which NETL was down more than -10%. This table shows the average price changes over the 3 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -10%	5.7	-6.9	3.5	7.3	1.5	5.4	13.6

Table 10. Periods when NETL moved 5% or more

In this table, we track the price movements in the 20 days after NETL had a one-day price change of at least 5%.

Date	Price Change	Price Change after 5% Move
Days after:		1	4	7	10	13	16	19
20200324	12.6%	8.0	13.4	-1.6	3.5	18.3	9.6	7.0
20200409	9.1%	.0	-7.4	-9.6	-11.4	-2.5	-3.3	-5.6
20200325	8%	7.2	2.0	-13.4	.3	4.5	-1.6	-1.8
20200518	7.9%	.2	3.0	9.6	10.2	19.2	23.8	18.3
20200313	7.8%	-22.4	-30.4	-24.0	-14.1	-24.4	-23.3	-10.2
20200406	7.8%	2.5	17.2	8.5	6.0	3.8	14.2	13.3
20200326	7.2%	-2.3	-14.1	-12.9	2.1	.8	-4.8	-8.9
20200319	7.1%	3.0	17.8	23.7	7.4	12.9	29.0	19.5
20200603	6.5%	.9	4.8	.1	5.8	2.1	-.1	-1.7
20201109	6.4%	4.4	4.0	3.4	5.1	6.9	5.0	6.8
20200429	6.3%	-2.2	-8.4	-4.3	-15.6	-8.2	-6.3	-.2
20200526	5.5%	.9	1.5	9.7	13.9	8.9	15.0	11.0
20200427	5.2%	3.6	2.8	.3	3.4	-6.6	1.3	4.1
20200612	5.1%	4.1	5.4	2.1	-4.2	.1	-.8	-6.4
20200513	-5%	.5	9.0	12.0	19.2	19.9	29.7	34.6
20200512	-5.2%	-5.1	3.2	5.4	12.2	9.6	22.0	31.5
20200323	-6%	12.7	27.5	12.1	13.7	33.3	31.6	24.3
20200415	-6.1%	-3.0	-3.2	-3.4	11.9	2.1	4.6	-.5
20200227	-6.2%	-1.8	4.7	-7.3	-22.5	-33.7	-40.0	-31.4
20200611	-6.4%	5.1	11.0	7.1	4.8	3.2	4.3	.5
20200311	-7.4%	-13.0	-25.6	-32.8	-23.1	-19.3	-29.9	-26.3
20200309	-8.4%	4.0	-9.8	-41.4	-39.2	-20.6	-24.5	-35.9
20200401	-9.7%	-1.0	4.0	18.9	10.1	7.5	5.3	15.9
20200312	-13%	7.8	-29.9	-27.3	-5.1	-9.7	-23.4	-11.2
20200318	-18%	7.1	16.9	32.2	16.2	18.0	38.2	36.5
20200316	-22.3%	2.2	-7.6	5.7	10.9	-3.7	1.2	15.7

Table 10a. NETL average price changes following a 5% up day

Of the 450 trading days from 2019 to 2020, there were 14 days in which NETL was up more than 5%. This table shows the average price changes over the 14 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	.6	.8	-.6	.9	2.5	4.1	3.2

Table 10b. NETL average price changes following a 5% down day

Of the 450 trading days from 2019 to 2020, there were 12 days in which NETL was down more than -5%. This table shows the average price changes over the 12 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	1.3	.0	-1.6	.8	.5	1.6	4.5

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Also see: VIX price movement study.