Correlation Between Yuanta SP and Yuanta STOXX
Can any of the company-specific risk be diversified away by investing in both Yuanta SP and Yuanta STOXX at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Yuanta SP and Yuanta STOXX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Yuanta SP GSCI and Yuanta STOXX Global, you can compare the effects of market volatilities on Yuanta SP and Yuanta STOXX 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 Yuanta SP with a short position of Yuanta STOXX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Yuanta SP and Yuanta STOXX.
Diversification Opportunities for Yuanta SP and Yuanta STOXX
0.07 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Yuanta and Yuanta is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Yuanta SP GSCI and Yuanta STOXX Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yuanta STOXX Global and Yuanta SP 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 Yuanta SP GSCI are associated (or correlated) with Yuanta STOXX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yuanta STOXX Global has no effect on the direction of Yuanta SP i.e., Yuanta SP and Yuanta STOXX go up and down completely randomly.
Pair Corralation between Yuanta SP and Yuanta STOXX
Assuming the 90 days trading horizon Yuanta SP is expected to generate 2.31 times less return on investment than Yuanta STOXX. In addition to that, Yuanta SP is 1.02 times more volatile than Yuanta STOXX Global. It trades about 0.09 of its total potential returns per unit of risk. Yuanta STOXX Global is currently generating about 0.21 per unit of volatility. If you would invest 6,580 in Yuanta STOXX Global on September 1, 2024 and sell it today you would earn a total of 450.00 from holding Yuanta STOXX Global or generate 6.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Yuanta SP GSCI vs. Yuanta STOXX Global
Performance |
| Timeline |
| Yuanta SP GSCI |
| Yuanta STOXX Global |
Yuanta SP and Yuanta STOXX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Yuanta SP and Yuanta STOXX
The main advantage of trading using opposite Yuanta SP and Yuanta STOXX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Yuanta SP position performs unexpectedly, Yuanta STOXX 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 Yuanta STOXX will offset losses from the drop in Yuanta STOXX's long position.| Yuanta SP vs. Yuanta Daily SP | Yuanta SP vs. Yuanta Securities Investment | Yuanta SP vs. Yuanta SP GSCI | Yuanta SP vs. Yuanta Global NexGen |
| Yuanta STOXX vs. Yuanta Daily SP | Yuanta STOXX vs. Yuanta Securities Investment | Yuanta STOXX vs. Yuanta SP GSCI | Yuanta STOXX vs. Yuanta Global NexGen |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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