Correlation Between Fubon MSCI and CTBC Treasury
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By analyzing existing cross correlation between Fubon MSCI Taiwan and CTBC Treasury 20, you can compare the effects of market volatilities on Fubon MSCI and CTBC Treasury 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 Fubon MSCI with a short position of CTBC Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fubon MSCI and CTBC Treasury.
Diversification Opportunities for Fubon MSCI and CTBC Treasury
-0.78 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Fubon and CTBC is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding Fubon MSCI Taiwan and CTBC Treasury 20 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC Treasury 20 and Fubon MSCI 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 Fubon MSCI Taiwan are associated (or correlated) with CTBC Treasury. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC Treasury 20 has no effect on the direction of Fubon MSCI i.e., Fubon MSCI and CTBC Treasury go up and down completely randomly.
Pair Corralation between Fubon MSCI and CTBC Treasury
Assuming the 90 days trading horizon Fubon MSCI Taiwan is expected to under-perform the CTBC Treasury. In addition to that, Fubon MSCI is 1.48 times more volatile than CTBC Treasury 20. It trades about -0.06 of its total potential returns per unit of risk. CTBC Treasury 20 is currently generating about 0.15 per unit of volatility. If you would invest 2,948 in CTBC Treasury 20 on September 2, 2024 and sell it today you would earn a total of 71.00 from holding CTBC Treasury 20 or generate 2.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fubon MSCI Taiwan vs. CTBC Treasury 20
Performance |
| Timeline |
| Fubon MSCI Taiwan |
| CTBC Treasury 20 |
Fubon MSCI and CTBC Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fubon MSCI and CTBC Treasury
The main advantage of trading using opposite Fubon MSCI and CTBC Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fubon MSCI position performs unexpectedly, CTBC Treasury 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 CTBC Treasury will offset losses from the drop in CTBC Treasury's long position.The idea behind Fubon MSCI Taiwan and CTBC Treasury 20 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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