Correlation Between CEZ As and VRG SA
Can any of the company-specific risk be diversified away by investing in both CEZ As and VRG 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 VRG 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 VRG SA, you can compare the effects of market volatilities on CEZ As and VRG 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 VRG SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of CEZ As and VRG SA.
Diversification Opportunities for CEZ As and VRG SA
Pay attention - limited upside
The 3 months correlation between CEZ and VRG is -0.81. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and VRG SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VRG 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 VRG SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VRG SA has no effect on the direction of CEZ As i.e., CEZ As and VRG SA go up and down completely randomly.
Pair Corralation between CEZ As and VRG SA
Assuming the 90 days trading horizon CEZ as is expected to generate 0.91 times more return on investment than VRG SA. However, CEZ as is 1.1 times less risky than VRG SA. It trades about 0.03 of its potential returns per unit of risk. VRG SA is currently generating about -0.01 per unit of risk. If you would invest 15,669 in CEZ as on September 3, 2024 and sell it today you would earn a total of 771.00 from holding CEZ as or generate 4.92% 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. VRG SA
Performance |
| Timeline |
| CEZ as |
| VRG SA |
CEZ As and VRG SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CEZ As and VRG SA
The main advantage of trading using opposite CEZ As and VRG SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CEZ As position performs unexpectedly, VRG 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 VRG SA will offset losses from the drop in VRG SA's long position.| CEZ As vs. ING Bank lski | CEZ As vs. Intersport Polska SA | CEZ As vs. Cloud Technologies SA | CEZ As vs. Marie Brizard Wine |
| VRG SA vs. Banco Santander SA | VRG SA vs. UniCredit SpA | VRG SA vs. CEZ as | VRG 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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