Correlation Between CEZ As and OrangePL
Can any of the company-specific risk be diversified away by investing in both CEZ As and OrangePL 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 OrangePL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CEZ as and OrangePL, you can compare the effects of market volatilities on CEZ As and OrangePL 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 OrangePL. Check out your portfolio center. Please also check ongoing floating volatility patterns of CEZ As and OrangePL.
Diversification Opportunities for CEZ As and OrangePL
Pay attention - limited upside
The 3 months correlation between CEZ and OrangePL is -0.86. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and OrangePL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on OrangePL 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 OrangePL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OrangePL has no effect on the direction of CEZ As i.e., CEZ As and OrangePL go up and down completely randomly.
Pair Corralation between CEZ As and OrangePL
Assuming the 90 days trading horizon CEZ as is expected to generate 1.8 times more return on investment than OrangePL. However, CEZ As is 1.8 times more volatile than OrangePL. It trades about 0.14 of its potential returns per unit of risk. OrangePL is currently generating about -0.03 per unit of risk. If you would invest 15,400 in CEZ as on September 1, 2024 and sell it today you would earn a total of 1,050 from holding CEZ as or generate 6.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
CEZ as vs. OrangePL
Performance |
| Timeline |
| CEZ as |
| OrangePL |
CEZ As and OrangePL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CEZ As and OrangePL
The main advantage of trading using opposite CEZ As and OrangePL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CEZ As position performs unexpectedly, OrangePL 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 OrangePL will offset losses from the drop in OrangePL's long position.| CEZ As vs. SOFTWARE MANSION SPOLKA | CEZ As vs. LSI Software SA | CEZ As vs. PMPG Polskie Media | CEZ As vs. Globe Trade Centre |
| OrangePL vs. MCI Management SA | OrangePL vs. New Tech Venture | OrangePL vs. Drago entertainment SA | OrangePL vs. Quantum Software 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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