Correlation Between CEZ As and PKP Cargo
Can any of the company-specific risk be diversified away by investing in both CEZ As and PKP Cargo 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 PKP Cargo into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CEZ as and PKP Cargo SA, you can compare the effects of market volatilities on CEZ As and PKP Cargo 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 PKP Cargo. Check out your portfolio center. Please also check ongoing floating volatility patterns of CEZ As and PKP Cargo.
Diversification Opportunities for CEZ As and PKP Cargo
Pay attention - limited upside
The 3 months correlation between CEZ and PKP is -0.79. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and PKP Cargo SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PKP Cargo 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 PKP Cargo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PKP Cargo SA has no effect on the direction of CEZ As i.e., CEZ As and PKP Cargo go up and down completely randomly.
Pair Corralation between CEZ As and PKP Cargo
Assuming the 90 days trading horizon CEZ as is expected to generate 0.42 times more return on investment than PKP Cargo. However, CEZ as is 2.37 times less risky than PKP Cargo. It trades about 0.04 of its potential returns per unit of risk. PKP Cargo SA is currently generating about 0.01 per unit of risk. If you would invest 15,555 in CEZ as on September 1, 2024 and sell it today you would earn a total of 895.00 from holding CEZ as or generate 5.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
CEZ as vs. PKP Cargo SA
Performance |
| Timeline |
| CEZ as |
| PKP Cargo SA |
CEZ As and PKP Cargo Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CEZ As and PKP Cargo
The main advantage of trading using opposite CEZ As and PKP Cargo positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CEZ As position performs unexpectedly, PKP Cargo 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 PKP Cargo will offset losses from the drop in PKP Cargo'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 |
| PKP Cargo vs. Banco Santander SA | PKP Cargo vs. UniCredit SpA | PKP Cargo vs. CEZ as | PKP Cargo 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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