Correlation Between ASM International and Commercial Vehicle
Can any of the company-specific risk be diversified away by investing in both ASM International and Commercial Vehicle 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 Commercial Vehicle 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 Commercial Vehicle Group, you can compare the effects of market volatilities on ASM International and Commercial Vehicle 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 Commercial Vehicle. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASM International and Commercial Vehicle.
Diversification Opportunities for ASM International and Commercial Vehicle
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ASM and Commercial is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding ASM International NV and Commercial Vehicle Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Commercial Vehicle 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 Commercial Vehicle. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Commercial Vehicle has no effect on the direction of ASM International i.e., ASM International and Commercial Vehicle go up and down completely randomly.
Pair Corralation between ASM International and Commercial Vehicle
Assuming the 90 days horizon ASM International NV is expected to generate 0.76 times more return on investment than Commercial Vehicle. However, ASM International NV is 1.31 times less risky than Commercial Vehicle. It trades about -0.08 of its potential returns per unit of risk. Commercial Vehicle Group is currently generating about -0.15 per unit of risk. If you would invest 68,420 in ASM International NV on September 3, 2024 and sell it today you would lose (18,540) from holding ASM International NV or give up 27.1% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ASM International NV vs. Commercial Vehicle Group
Performance |
| Timeline |
| ASM International |
| Commercial Vehicle |
ASM International and Commercial Vehicle Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ASM International and Commercial Vehicle
The main advantage of trading using opposite ASM International and Commercial Vehicle positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASM International position performs unexpectedly, Commercial Vehicle 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 Commercial Vehicle will offset losses from the drop in Commercial Vehicle's long position.| ASM International vs. PennyMac Mortgage Investment | ASM International vs. CECO ENVIRONMENTAL | ASM International vs. HK Electric Investments | ASM International vs. REINET INVESTMENTS SCA |
| Commercial Vehicle vs. Apple Inc | Commercial Vehicle vs. Apple Inc | Commercial Vehicle vs. Apple Inc | Commercial Vehicle vs. Apple Inc |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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