Correlation Between GPT and Shin Etsu
Can any of the company-specific risk be diversified away by investing in both GPT and Shin Etsu 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 GPT and Shin Etsu into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GPT Group and Shin Etsu Chemical Co, you can compare the effects of market volatilities on GPT and Shin Etsu 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 GPT with a short position of Shin Etsu. Check out your portfolio center. Please also check ongoing floating volatility patterns of GPT and Shin Etsu.
Diversification Opportunities for GPT and Shin Etsu
Poor diversification
The 3 months correlation between GPT and Shin is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding GPT Group and Shin Etsu Chemical Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Shin Etsu Chemical and GPT 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 GPT Group are associated (or correlated) with Shin Etsu. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shin Etsu Chemical has no effect on the direction of GPT i.e., GPT and Shin Etsu go up and down completely randomly.
Pair Corralation between GPT and Shin Etsu
Assuming the 90 days horizon GPT Group is expected to generate 1.34 times more return on investment than Shin Etsu. However, GPT is 1.34 times more volatile than Shin Etsu Chemical Co. It trades about -0.04 of its potential returns per unit of risk. Shin Etsu Chemical Co is currently generating about -0.07 per unit of risk. If you would invest 277.00 in GPT Group on September 13, 2024 and sell it today you would lose (8.00) from holding GPT Group or give up 2.89% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GPT Group vs. Shin Etsu Chemical Co
Performance |
| Timeline |
| GPT Group |
| Shin Etsu Chemical |
GPT and Shin Etsu Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GPT and Shin Etsu
The main advantage of trading using opposite GPT and Shin Etsu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GPT position performs unexpectedly, Shin Etsu 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 Shin Etsu will offset losses from the drop in Shin Etsu's long position.| GPT vs. MCEWEN MINING INC | GPT vs. PPHE HOTEL GROUP | GPT vs. Pebblebrook Hotel Trust | GPT vs. Meli Hotels International |
| Shin Etsu vs. Perseus Mining Limited | Shin Etsu vs. GALENA MINING LTD | Shin Etsu vs. PSI Software AG | Shin Etsu vs. CyberArk Software |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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