Correlation Between Castro and Shufersal
Can any of the company-specific risk be diversified away by investing in both Castro and Shufersal 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 Castro and Shufersal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Castro and Shufersal, you can compare the effects of market volatilities on Castro and Shufersal 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 Castro with a short position of Shufersal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Castro and Shufersal.
Diversification Opportunities for Castro and Shufersal
Very poor diversification
The 3 months correlation between Castro and Shufersal is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Castro and Shufersal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Shufersal and Castro 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 Castro are associated (or correlated) with Shufersal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shufersal has no effect on the direction of Castro i.e., Castro and Shufersal go up and down completely randomly.
Pair Corralation between Castro and Shufersal
Assuming the 90 days trading horizon Castro is expected to generate 1.16 times less return on investment than Shufersal. In addition to that, Castro is 1.31 times more volatile than Shufersal. It trades about 0.15 of its total potential returns per unit of risk. Shufersal is currently generating about 0.23 per unit of volatility. If you would invest 251,500 in Shufersal on September 3, 2024 and sell it today you would earn a total of 107,500 from holding Shufersal or generate 42.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Castro vs. Shufersal
Performance |
| Timeline |
| Castro |
| Shufersal |
Castro and Shufersal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Castro and Shufersal
The main advantage of trading using opposite Castro and Shufersal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Castro position performs unexpectedly, Shufersal 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 Shufersal will offset losses from the drop in Shufersal's long position.| Castro vs. Fox Wizel | Castro vs. Golf Co Group | Castro vs. Bezeq Israeli Telecommunication | Castro vs. Azrieli Group |
| Shufersal vs. Rami Levi | Shufersal vs. Bezeq Israeli Telecommunication | Shufersal vs. Bank Hapoalim | Shufersal vs. Bank Leumi Le Israel |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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