Correlation Between CEZ As and IMC SA
Can any of the company-specific risk be diversified away by investing in both CEZ As and IMC 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 IMC 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 IMC SA, you can compare the effects of market volatilities on CEZ As and IMC 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 IMC SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of CEZ As and IMC SA.
Diversification Opportunities for CEZ As and IMC SA
Weak diversification
The 3 months correlation between CEZ and IMC is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and IMC SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IMC 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 IMC SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IMC SA has no effect on the direction of CEZ As i.e., CEZ As and IMC SA go up and down completely randomly.
Pair Corralation between CEZ As and IMC SA
Assuming the 90 days trading horizon CEZ As is expected to generate 12.28 times less return on investment than IMC SA. But when comparing it to its historical volatility, CEZ as is 1.66 times less risky than IMC SA. It trades about 0.01 of its potential returns per unit of risk. IMC SA is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 990.00 in IMC SA on September 4, 2024 and sell it today you would earn a total of 335.00 from holding IMC SA or generate 33.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.59% |
| Values | Daily Returns |
CEZ as vs. IMC SA
Performance |
| Timeline |
| CEZ as |
| IMC SA |
CEZ As and IMC SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CEZ As and IMC SA
The main advantage of trading using opposite CEZ As and IMC SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CEZ As position performs unexpectedly, IMC 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 IMC SA will offset losses from the drop in IMC SA's long position.| CEZ As vs. MW Trade SA | CEZ As vs. Ultimate Games SA | CEZ As vs. Varsav Game Studios | CEZ As vs. GreenX Metals |
| IMC SA vs. Alior Bank SA | IMC SA vs. Mercator Medical SA | IMC SA vs. Bank Millennium SA | IMC SA vs. Saule Technologies SA |
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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