Correlation Between ASM International and Sumco Corp
Can any of the company-specific risk be diversified away by investing in both ASM International 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 ASM International and Sumco Corp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ASM International NV and Sumco Corp ADR, you can compare the effects of market volatilities on ASM International 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 ASM International with a short position of Sumco Corp. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASM International and Sumco Corp.
Diversification Opportunities for ASM International and Sumco Corp
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between ASM and Sumco is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding ASM International NV 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 ASM International 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 ASM International NV 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 ASM International i.e., ASM International and Sumco Corp go up and down completely randomly.
Pair Corralation between ASM International and Sumco Corp
Assuming the 90 days horizon ASM International NV is expected to generate 1.12 times more return on investment than Sumco Corp. However, ASM International is 1.12 times more volatile than Sumco Corp ADR. It trades about 0.04 of its potential returns per unit of risk. Sumco Corp ADR is currently generating about -0.03 per unit of risk. If you would invest 32,297 in ASM International NV on December 5, 2024 and sell it today you would earn a total of 16,124 from holding ASM International NV or generate 49.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.6% |
| Values | Daily Returns |
ASM International NV vs. Sumco Corp ADR
Performance |
| Timeline |
| ASM International |
| Sumco Corp ADR |
ASM International and Sumco Corp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASM International and Sumco Corp
The main advantage of trading using opposite ASM International and Sumco Corp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASM International 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.| ASM International vs. Lasertec | ||
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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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