Correlation Between Shandong Mining and Changchun Faway
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By analyzing existing cross correlation between Shandong Mining Machinery and Changchun Faway Automobile, you can compare the effects of market volatilities on Shandong Mining and Changchun Faway and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Shandong Mining with a short position of Changchun Faway. Check out your portfolio center. Please also check ongoing floating volatility patterns of Shandong Mining and Changchun Faway.
Diversification Opportunities for Shandong Mining and Changchun Faway
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Shandong and Changchun is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Shandong Mining Machinery and Changchun Faway Automobile in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Changchun Faway Auto and Shandong Mining is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Shandong Mining Machinery are associated (or correlated) with Changchun Faway. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Changchun Faway Auto has no effect on the direction of Shandong Mining i.e., Shandong Mining and Changchun Faway go up and down completely randomly.
Pair Corralation between Shandong Mining and Changchun Faway
Assuming the 90 days trading horizon Shandong Mining Machinery is expected to generate 1.39 times more return on investment than Changchun Faway. However, Shandong Mining is 1.39 times more volatile than Changchun Faway Automobile. It trades about 0.08 of its potential returns per unit of risk. Changchun Faway Automobile is currently generating about 0.02 per unit of risk. If you would invest 272.00 in Shandong Mining Machinery on September 12, 2024 and sell it today you would earn a total of 292.00 from holding Shandong Mining Machinery or generate 107.35% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Shandong Mining Machinery vs. Changchun Faway Automobile
Performance |
| Timeline |
| Shandong Mining Machinery |
| Changchun Faway Auto |
Shandong Mining and Changchun Faway Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Shandong Mining and Changchun Faway
The main advantage of trading using opposite Shandong Mining and Changchun Faway positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Shandong Mining position performs unexpectedly, Changchun Faway can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Changchun Faway will offset losses from the drop in Changchun Faway's long position.| Shandong Mining vs. Agricultural Bank of | Shandong Mining vs. Industrial and Commercial | Shandong Mining vs. Bank of China | Shandong Mining vs. PetroChina Co Ltd |
| Changchun Faway vs. Lutian Machinery Co | Changchun Faway vs. PetroChina Co Ltd | Changchun Faway vs. Bank of China | Changchun Faway vs. Gansu Jiu Steel |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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