Correlation Between Advantest and SCREEN Holdings
Can any of the company-specific risk be diversified away by investing in both Advantest and SCREEN Holdings 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 Advantest and SCREEN Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Advantest and SCREEN Holdings Co, you can compare the effects of market volatilities on Advantest and SCREEN Holdings 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 Advantest with a short position of SCREEN Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Advantest and SCREEN Holdings.
Diversification Opportunities for Advantest and SCREEN Holdings
-0.65 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Advantest and SCREEN is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Advantest and SCREEN Holdings Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCREEN Holdings and Advantest 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 Advantest are associated (or correlated) with SCREEN Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCREEN Holdings has no effect on the direction of Advantest i.e., Advantest and SCREEN Holdings go up and down completely randomly.
Pair Corralation between Advantest and SCREEN Holdings
Assuming the 90 days horizon Advantest is expected to generate 0.33 times more return on investment than SCREEN Holdings. However, Advantest is 3.0 times less risky than SCREEN Holdings. It trades about 0.15 of its potential returns per unit of risk. SCREEN Holdings Co is currently generating about -0.07 per unit of risk. If you would invest 4,099 in Advantest on October 22, 2024 and sell it today you would earn a total of 2,151 from holding Advantest or generate 52.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 19.51% |
| Values | Daily Returns |
Advantest vs. SCREEN Holdings Co
Performance |
| Timeline |
| Advantest |
| SCREEN Holdings |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Good
Advantest and SCREEN Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Advantest and SCREEN Holdings
The main advantage of trading using opposite Advantest and SCREEN Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Advantest position performs unexpectedly, SCREEN Holdings 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 SCREEN Holdings will offset losses from the drop in SCREEN Holdings' long position.| Advantest vs. Tokyo Electron | Advantest vs. Ultra Clean Holdings | Advantest vs. Applied Materials | Advantest vs. Sumco Corp ADR |
| SCREEN Holdings vs. Asm Pacific Technology | SCREEN Holdings vs. Disco Corp ADR | SCREEN Holdings vs. Tokyo Electron | SCREEN Holdings vs. Lasertec |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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