Correlation Between CTBC Treasury and CTBC 20
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By analyzing existing cross correlation between CTBC Treasury 20 and CTBC 20 Year, you can compare the effects of market volatilities on CTBC Treasury and CTBC 20 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 CTBC Treasury with a short position of CTBC 20. Check out your portfolio center. Please also check ongoing floating volatility patterns of CTBC Treasury and CTBC 20.
Diversification Opportunities for CTBC Treasury and CTBC 20
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between CTBC and CTBC is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding CTBC Treasury 20 and CTBC 20 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC 20 Year and CTBC Treasury 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 CTBC Treasury 20 are associated (or correlated) with CTBC 20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC 20 Year has no effect on the direction of CTBC Treasury i.e., CTBC Treasury and CTBC 20 go up and down completely randomly.
Pair Corralation between CTBC Treasury and CTBC 20
Assuming the 90 days trading horizon CTBC Treasury 20 is expected to generate 1.27 times more return on investment than CTBC 20. However, CTBC Treasury is 1.27 times more volatile than CTBC 20 Year. It trades about 0.07 of its potential returns per unit of risk. CTBC 20 Year is currently generating about 0.06 per unit of risk. If you would invest 2,796 in CTBC Treasury 20 on September 3, 2024 and sell it today you would earn a total of 223.00 from holding CTBC Treasury 20 or generate 7.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
CTBC Treasury 20 vs. CTBC 20 Year
Performance |
| Timeline |
| CTBC Treasury 20 |
| CTBC 20 Year |
CTBC Treasury and CTBC 20 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CTBC Treasury and CTBC 20
The main advantage of trading using opposite CTBC Treasury and CTBC 20 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CTBC Treasury position performs unexpectedly, CTBC 20 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 20 will offset losses from the drop in CTBC 20's long position.| CTBC Treasury vs. CTBC USD Corporate | CTBC Treasury vs. CTBC 20 Year | CTBC Treasury vs. CTBC TIP Customized | CTBC Treasury vs. CTBC 15 Developed |
| CTBC 20 vs. CTBC USD Corporate | CTBC 20 vs. CTBC TIP Customized | CTBC 20 vs. CTBC Treasury 20 | CTBC 20 vs. CTBC 15 Developed |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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