Correlation Between Fubon FTSE and CTBC USD
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By analyzing existing cross correlation between Fubon FTSE Vietnam and CTBC USD Corporate, you can compare the effects of market volatilities on Fubon FTSE and CTBC USD 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 CTBC USD. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fubon FTSE and CTBC USD.
Diversification Opportunities for Fubon FTSE and CTBC USD
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Fubon and CTBC is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Fubon FTSE Vietnam and CTBC USD Corporate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC USD Corporate 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 CTBC USD. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC USD Corporate has no effect on the direction of Fubon FTSE i.e., Fubon FTSE and CTBC USD go up and down completely randomly.
Pair Corralation between Fubon FTSE and CTBC USD
Assuming the 90 days trading horizon Fubon FTSE Vietnam is expected to under-perform the CTBC USD. In addition to that, Fubon FTSE is 1.6 times more volatile than CTBC USD Corporate. It trades about 0.0 of its total potential returns per unit of risk. CTBC USD Corporate is currently generating about 0.05 per unit of volatility. If you would invest 3,420 in CTBC USD Corporate on September 2, 2024 and sell it today you would earn a total of 220.00 from holding CTBC USD Corporate or generate 6.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fubon FTSE Vietnam vs. CTBC USD Corporate
Performance |
| Timeline |
| Fubon FTSE Vietnam |
| CTBC USD Corporate |
Fubon FTSE and CTBC USD Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fubon FTSE and CTBC USD
The main advantage of trading using opposite Fubon FTSE and CTBC USD positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fubon FTSE position performs unexpectedly, CTBC USD 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 USD will offset losses from the drop in CTBC USD's long position.The idea behind Fubon FTSE Vietnam and CTBC USD Corporate 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.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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