Correlation Between Hurum and STI
Can any of the company-specific risk be diversified away by investing in both Hurum and STI 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 Hurum and STI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hurum Co and STI Co, you can compare the effects of market volatilities on Hurum and STI 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 Hurum with a short position of STI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hurum and STI.
Diversification Opportunities for Hurum and STI
Very poor diversification
The 3 months correlation between Hurum and STI is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Hurum Co and STI Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on STI Co and Hurum 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 Hurum Co are associated (or correlated) with STI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of STI Co has no effect on the direction of Hurum i.e., Hurum and STI go up and down completely randomly.
Pair Corralation between Hurum and STI
Assuming the 90 days trading horizon Hurum Co is expected to generate 0.66 times more return on investment than STI. However, Hurum Co is 1.51 times less risky than STI. It trades about -0.21 of its potential returns per unit of risk. STI Co is currently generating about -0.51 per unit of risk. If you would invest 78,100 in Hurum Co on September 2, 2024 and sell it today you would lose (7,600) from holding Hurum Co or give up 9.73% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Hurum Co vs. STI Co
Performance |
| Timeline |
| Hurum |
| STI Co |
Hurum and STI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hurum and STI
The main advantage of trading using opposite Hurum and STI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hurum position performs unexpectedly, STI 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 STI will offset losses from the drop in STI's long position.| Hurum vs. Samsung Electronics Co | Hurum vs. Samsung Electronics Co | Hurum vs. LG Energy Solution | Hurum vs. SK Hynix |
| STI vs. Dongsin Engineering Construction | STI vs. Doosan Fuel Cell | STI vs. Daishin Balance 1 | STI vs. Total Soft Bank |
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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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