Correlation Between Advantest and Sumco Corp
Can any of the company-specific risk be diversified away by investing in both Advantest and Sumco Corp 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 Sumco Corp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Advantest and Sumco Corp ADR, you can compare the effects of market volatilities on Advantest and Sumco Corp 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 Sumco Corp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Advantest and Sumco Corp.
Diversification Opportunities for Advantest and Sumco Corp
-0.83 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Advantest and Sumco is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding Advantest and Sumco Corp ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumco Corp ADR 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 Sumco Corp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumco Corp ADR has no effect on the direction of Advantest i.e., Advantest and Sumco Corp go up and down completely randomly.
Pair Corralation between Advantest and Sumco Corp
Assuming the 90 days horizon Advantest is expected to generate 1.52 times more return on investment than Sumco Corp. However, Advantest is 1.52 times more volatile than Sumco Corp ADR. It trades about 0.28 of its potential returns per unit of risk. Sumco Corp ADR is currently generating about -0.33 per unit of risk. If you would invest 5,104 in Advantest on August 24, 2024 and sell it today you would earn a total of 1,146 from holding Advantest or generate 22.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Advantest vs. Sumco Corp ADR
Performance |
| Timeline |
| Advantest |
| Sumco Corp ADR |
Advantest and Sumco Corp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Advantest and Sumco Corp
The main advantage of trading using opposite Advantest and Sumco Corp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Advantest position performs unexpectedly, Sumco Corp 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 Sumco Corp will offset losses from the drop in Sumco Corp's long position.| Advantest vs. ASML Holding NV | Advantest vs. ASML Holding NV | Advantest vs. Applied Materials | Advantest vs. Lam Research Corp |
| Sumco Corp vs. ASML Holding NV | Sumco Corp vs. ASML Holding NV | Sumco Corp vs. Applied Materials | Sumco Corp vs. Lam Research Corp |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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