Correlation Between AUST AGRICULTURAL and Sumitomo Mitsui
Can any of the company-specific risk be diversified away by investing in both AUST AGRICULTURAL and Sumitomo Mitsui 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 AUST AGRICULTURAL and Sumitomo Mitsui into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AUST AGRICULTURAL and Sumitomo Mitsui Construction, you can compare the effects of market volatilities on AUST AGRICULTURAL and Sumitomo Mitsui 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 AUST AGRICULTURAL with a short position of Sumitomo Mitsui. Check out your portfolio center. Please also check ongoing floating volatility patterns of AUST AGRICULTURAL and Sumitomo Mitsui.
Diversification Opportunities for AUST AGRICULTURAL and Sumitomo Mitsui
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AUST and Sumitomo is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding AUST AGRICULTURAL and Sumitomo Mitsui Construction in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumitomo Mitsui Cons and AUST AGRICULTURAL 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 AUST AGRICULTURAL are associated (or correlated) with Sumitomo Mitsui. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumitomo Mitsui Cons has no effect on the direction of AUST AGRICULTURAL i.e., AUST AGRICULTURAL and Sumitomo Mitsui go up and down completely randomly.
Pair Corralation between AUST AGRICULTURAL and Sumitomo Mitsui
Assuming the 90 days trading horizon AUST AGRICULTURAL is expected to generate 2.5 times less return on investment than Sumitomo Mitsui. But when comparing it to its historical volatility, AUST AGRICULTURAL is 1.95 times less risky than Sumitomo Mitsui. It trades about 0.12 of its potential returns per unit of risk. Sumitomo Mitsui Construction is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 228.00 in Sumitomo Mitsui Construction on September 2, 2024 and sell it today you would earn a total of 14.00 from holding Sumitomo Mitsui Construction or generate 6.14% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
AUST AGRICULTURAL vs. Sumitomo Mitsui Construction
Performance |
Timeline |
AUST AGRICULTURAL |
Sumitomo Mitsui Cons |
AUST AGRICULTURAL and Sumitomo Mitsui Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with AUST AGRICULTURAL and Sumitomo Mitsui
The main advantage of trading using opposite AUST AGRICULTURAL and Sumitomo Mitsui positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AUST AGRICULTURAL position performs unexpectedly, Sumitomo Mitsui 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 Sumitomo Mitsui will offset losses from the drop in Sumitomo Mitsui's long position.AUST AGRICULTURAL vs. SIVERS SEMICONDUCTORS AB | AUST AGRICULTURAL vs. Darden Restaurants | AUST AGRICULTURAL vs. Reliance Steel Aluminum | AUST AGRICULTURAL vs. Q2M Managementberatung AG |
Sumitomo Mitsui vs. SIVERS SEMICONDUCTORS AB | Sumitomo Mitsui vs. Darden Restaurants | Sumitomo Mitsui vs. Reliance Steel Aluminum | Sumitomo Mitsui vs. Q2M Managementberatung AG |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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