Correlation Between Fubon FTSE and Fubon MSCI
Can any of the company-specific risk be diversified away by investing in both Fubon FTSE and Fubon MSCI 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 Fubon FTSE and Fubon MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fubon FTSE Vietnam and Fubon MSCI Taiwan, you can compare the effects of market volatilities on Fubon FTSE and Fubon MSCI 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 FTSE with a short position of Fubon MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fubon FTSE and Fubon MSCI.
Diversification Opportunities for Fubon FTSE and Fubon MSCI
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Fubon and Fubon is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Fubon FTSE Vietnam and Fubon MSCI Taiwan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fubon MSCI Taiwan and Fubon FTSE 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 FTSE Vietnam are associated (or correlated) with Fubon MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fubon MSCI Taiwan has no effect on the direction of Fubon FTSE i.e., Fubon FTSE and Fubon MSCI go up and down completely randomly.
Pair Corralation between Fubon FTSE and Fubon MSCI
Assuming the 90 days trading horizon Fubon FTSE Vietnam is expected to under-perform the Fubon MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Fubon FTSE Vietnam is 1.43 times less risky than Fubon MSCI. The etf trades about -0.09 of its potential returns per unit of risk. The Fubon MSCI Taiwan is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 14,400 in Fubon MSCI Taiwan on August 27, 2024 and sell it today you would lose (225.00) from holding Fubon MSCI Taiwan or give up 1.56% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fubon FTSE Vietnam vs. Fubon MSCI Taiwan
Performance |
| Timeline |
| Fubon FTSE Vietnam |
| Fubon MSCI Taiwan |
Fubon FTSE and Fubon MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fubon FTSE and Fubon MSCI
The main advantage of trading using opposite Fubon FTSE and Fubon MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fubon FTSE position performs unexpectedly, Fubon MSCI 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 Fubon MSCI will offset losses from the drop in Fubon MSCI's long position.The idea behind Fubon FTSE Vietnam and Fubon MSCI Taiwan 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.| Fubon MSCI vs. Fubon Hang Seng | Fubon MSCI vs. Fubon SP Preferred | Fubon MSCI vs. Fubon NASDAQ 100 1X | Fubon MSCI vs. Fubon TWSE Corporate |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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