Correlation Between Fubon FTSE and Yuanta SP
Can any of the company-specific risk be diversified away by investing in both Fubon FTSE and Yuanta SP 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 Yuanta SP 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 Yuanta SP GSCI, you can compare the effects of market volatilities on Fubon FTSE and Yuanta SP 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 Yuanta SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fubon FTSE and Yuanta SP.
Diversification Opportunities for Fubon FTSE and Yuanta SP
-0.16 | Correlation Coefficient |
Good diversification
The 3 months correlation between Fubon and Yuanta is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding Fubon FTSE Vietnam and Yuanta SP GSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yuanta SP GSCI 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 Yuanta SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yuanta SP GSCI has no effect on the direction of Fubon FTSE i.e., Fubon FTSE and Yuanta SP go up and down completely randomly.
Pair Corralation between Fubon FTSE and Yuanta SP
Assuming the 90 days trading horizon Fubon FTSE Vietnam is expected to generate 0.7 times more return on investment than Yuanta SP. However, Fubon FTSE Vietnam is 1.43 times less risky than Yuanta SP. It trades about 0.01 of its potential returns per unit of risk. Yuanta SP GSCI is currently generating about -0.14 per unit of risk. If you would invest 1,163 in Fubon FTSE Vietnam on September 2, 2024 and sell it today you would earn a total of 2.00 from holding Fubon FTSE Vietnam or generate 0.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fubon FTSE Vietnam vs. Yuanta SP GSCI
Performance |
| Timeline |
| Fubon FTSE Vietnam |
| Yuanta SP GSCI |
Fubon FTSE and Yuanta SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fubon FTSE and Yuanta SP
The main advantage of trading using opposite Fubon FTSE and Yuanta SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fubon FTSE position performs unexpectedly, Yuanta SP 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 SP will offset losses from the drop in Yuanta SP's long position.The idea behind Fubon FTSE Vietnam and Yuanta SP GSCI 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.| Yuanta SP vs. Yuanta Daily SP | Yuanta SP vs. Yuanta Securities Investment | Yuanta SP vs. Yuanta Global NexGen | Yuanta SP vs. Yuanta SP GSCI |
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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