Correlation Between CEZ As and SUNEX SA
Can any of the company-specific risk be diversified away by investing in both CEZ As and SUNEX 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 SUNEX 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 SUNEX SA, you can compare the effects of market volatilities on CEZ As and SUNEX 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 SUNEX SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of CEZ As and SUNEX SA.
Diversification Opportunities for CEZ As and SUNEX SA
Pay attention - limited upside
The 3 months correlation between CEZ and SUNEX is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and SUNEX SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SUNEX 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 SUNEX SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SUNEX SA has no effect on the direction of CEZ As i.e., CEZ As and SUNEX SA go up and down completely randomly.
Pair Corralation between CEZ As and SUNEX SA
Assuming the 90 days trading horizon CEZ as is expected to generate 1.65 times more return on investment than SUNEX SA. However, CEZ As is 1.65 times more volatile than SUNEX SA. It trades about 0.14 of its potential returns per unit of risk. SUNEX SA is currently generating about -0.42 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 | Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
CEZ as vs. SUNEX SA
Performance |
| Timeline |
| CEZ as |
| SUNEX SA |
CEZ As and SUNEX SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CEZ As and SUNEX SA
The main advantage of trading using opposite CEZ As and SUNEX SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CEZ As position performs unexpectedly, SUNEX 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 SUNEX SA will offset losses from the drop in SUNEX SA'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 |
| SUNEX SA vs. Banco Santander SA | SUNEX SA vs. UniCredit SpA | SUNEX SA vs. CEZ as | SUNEX 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 Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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