Correlation Between Shinhan WTI and Samsung KODEX
Can any of the company-specific risk be diversified away by investing in both Shinhan WTI and Samsung KODEX 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 Shinhan WTI and Samsung KODEX into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Shinhan WTI Futures and Samsung KODEX Machinary, you can compare the effects of market volatilities on Shinhan WTI and Samsung KODEX 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 Shinhan WTI with a short position of Samsung KODEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Shinhan WTI and Samsung KODEX.
Diversification Opportunities for Shinhan WTI and Samsung KODEX
0.23 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Shinhan and Samsung is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Shinhan WTI Futures and Samsung KODEX Machinary in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samsung KODEX Machinary and Shinhan WTI 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 Shinhan WTI Futures are associated (or correlated) with Samsung KODEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samsung KODEX Machinary has no effect on the direction of Shinhan WTI i.e., Shinhan WTI and Samsung KODEX go up and down completely randomly.
Pair Corralation between Shinhan WTI and Samsung KODEX
Assuming the 90 days trading horizon Shinhan WTI Futures is expected to under-perform the Samsung KODEX. But the stock apears to be less risky and, when comparing its historical volatility, Shinhan WTI Futures is 1.41 times less risky than Samsung KODEX. The stock trades about -0.04 of its potential returns per unit of risk. The Samsung KODEX Machinary is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 704,000 in Samsung KODEX Machinary on September 2, 2024 and sell it today you would lose (6,000) from holding Samsung KODEX Machinary or give up 0.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Shinhan WTI Futures vs. Samsung KODEX Machinary
Performance |
| Timeline |
| Shinhan WTI Futures |
| Samsung KODEX Machinary |
Shinhan WTI and Samsung KODEX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Shinhan WTI and Samsung KODEX
The main advantage of trading using opposite Shinhan WTI and Samsung KODEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Shinhan WTI position performs unexpectedly, Samsung KODEX 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 Samsung KODEX will offset losses from the drop in Samsung KODEX's long position.| Shinhan WTI vs. BNK Financial Group | Shinhan WTI vs. Dongbu Insurance Co | Shinhan WTI vs. KakaoBank Corp | Shinhan WTI vs. Korea Alcohol Industrial |
| Samsung KODEX vs. Busan Industrial Co | Samsung KODEX vs. Busan Ind | Samsung KODEX vs. Mirae Asset Daewoo | Samsung KODEX vs. Shinhan WTI Futures |
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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