Correlation Between Damsan JSC and AgriBank Securities
Can any of the company-specific risk be diversified away by investing in both Damsan JSC and AgriBank Securities 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 Damsan JSC and AgriBank Securities into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Damsan JSC and AgriBank Securities JSC, you can compare the effects of market volatilities on Damsan JSC and AgriBank Securities 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 Damsan JSC with a short position of AgriBank Securities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Damsan JSC and AgriBank Securities.
Diversification Opportunities for Damsan JSC and AgriBank Securities
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Damsan and AgriBank is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Damsan JSC and AgriBank Securities JSC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AgriBank Securities JSC and Damsan JSC 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 Damsan JSC are associated (or correlated) with AgriBank Securities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AgriBank Securities JSC has no effect on the direction of Damsan JSC i.e., Damsan JSC and AgriBank Securities go up and down completely randomly.
Pair Corralation between Damsan JSC and AgriBank Securities
Assuming the 90 days trading horizon Damsan JSC is expected to under-perform the AgriBank Securities. But the stock apears to be less risky and, when comparing its historical volatility, Damsan JSC is 1.12 times less risky than AgriBank Securities. The stock trades about -0.17 of its potential returns per unit of risk. The AgriBank Securities JSC is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 1,750,000 in AgriBank Securities JSC on August 25, 2024 and sell it today you would lose (60,000) from holding AgriBank Securities JSC or give up 3.43% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Damsan JSC vs. AgriBank Securities JSC
Performance |
| Timeline |
| Damsan JSC |
| AgriBank Securities JSC |
Damsan JSC and AgriBank Securities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Damsan JSC and AgriBank Securities
The main advantage of trading using opposite Damsan JSC and AgriBank Securities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Damsan JSC position performs unexpectedly, AgriBank Securities 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 AgriBank Securities will offset losses from the drop in AgriBank Securities' long position.| Damsan JSC vs. Post and Telecommunications | Damsan JSC vs. Dinhvu Port Investment | Damsan JSC vs. Sea Air Freight | Damsan JSC vs. Vu Dang Investment |
| AgriBank Securities vs. FIT INVEST JSC | AgriBank Securities vs. Damsan JSC | AgriBank Securities vs. An Phat Plastic | AgriBank Securities vs. APG Securities Joint |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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