Correlation Between CEZ As and Budimex SA
Can any of the company-specific risk be diversified away by investing in both CEZ As and Budimex SA 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 CEZ As and Budimex SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CEZ as and Budimex SA, you can compare the effects of market volatilities on CEZ As and Budimex SA 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 CEZ As with a short position of Budimex SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of CEZ As and Budimex SA.
Diversification Opportunities for CEZ As and Budimex SA
-0.86 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between CEZ and Budimex is -0.86. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and Budimex SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Budimex SA and CEZ As 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 CEZ as are associated (or correlated) with Budimex SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Budimex SA has no effect on the direction of CEZ As i.e., CEZ As and Budimex SA go up and down completely randomly.
Pair Corralation between CEZ As and Budimex SA
Assuming the 90 days trading horizon CEZ as is expected to generate 0.74 times more return on investment than Budimex SA. However, CEZ as is 1.35 times less risky than Budimex SA. It trades about 0.01 of its potential returns per unit of risk. Budimex SA is currently generating about -0.16 per unit of risk. If you would invest 15,555 in CEZ as on August 30, 2024 and sell it today you would earn a total of 65.00 from holding CEZ as or generate 0.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CEZ as vs. Budimex SA
Performance |
| Timeline |
| CEZ as |
| Budimex SA |
CEZ As and Budimex SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CEZ As and Budimex SA
The main advantage of trading using opposite CEZ As and Budimex SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CEZ As position performs unexpectedly, Budimex SA 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 Budimex SA will offset losses from the drop in Budimex SA's long position.| CEZ As vs. Asseco Business Solutions | CEZ As vs. Detalion Games SA | CEZ As vs. CFI Holding SA | CEZ As vs. HM Inwest SA |
| Budimex SA vs. Banco Santander SA | Budimex SA vs. UniCredit SpA | Budimex SA vs. CEZ as | Budimex SA vs. Polski Koncern Naftowy |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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