Correlation Between CTBC 15 and CTBC Treasury
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By analyzing existing cross correlation between CTBC 15 Developed and CTBC Treasury 20, you can compare the effects of market volatilities on CTBC 15 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 CTBC 15 with a short position of CTBC Treasury. Check out your portfolio center. Please also check ongoing floating volatility patterns of CTBC 15 and CTBC Treasury.
Diversification Opportunities for CTBC 15 and CTBC Treasury
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between CTBC and CTBC is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding CTBC 15 Developed 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 CTBC 15 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 15 Developed 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 CTBC 15 i.e., CTBC 15 and CTBC Treasury go up and down completely randomly.
Pair Corralation between CTBC 15 and CTBC Treasury
Assuming the 90 days trading horizon CTBC 15 Developed is expected to generate 0.75 times more return on investment than CTBC Treasury. However, CTBC 15 Developed is 1.33 times less risky than CTBC Treasury. It trades about 0.02 of its potential returns per unit of risk. CTBC Treasury 20 is currently generating about 0.0 per unit of risk. If you would invest 3,328 in CTBC 15 Developed on September 3, 2024 and sell it today you would earn a total of 20.00 from holding CTBC 15 Developed or generate 0.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
CTBC 15 Developed vs. CTBC Treasury 20
Performance |
| Timeline |
| CTBC 15 Developed |
| CTBC Treasury 20 |
CTBC 15 and CTBC Treasury Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CTBC 15 and CTBC Treasury
The main advantage of trading using opposite CTBC 15 and CTBC Treasury positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CTBC 15 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.| CTBC 15 vs. CTBC USD Corporate | CTBC 15 vs. CTBC 20 Year | CTBC 15 vs. CTBC TIP Customized | CTBC 15 vs. CTBC Treasury 20 |
| CTBC Treasury vs. CTBC USD Corporate | CTBC Treasury vs. CTBC 20 Year | CTBC Treasury vs. CTBC TIP Customized | CTBC Treasury 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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