Correlation Between Capgemini and FUJITSU
Can any of the company-specific risk be diversified away by investing in both Capgemini and FUJITSU 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 Capgemini and FUJITSU into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capgemini SE and FUJITSU LTD ADR, you can compare the effects of market volatilities on Capgemini and FUJITSU 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 Capgemini with a short position of FUJITSU. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capgemini and FUJITSU.
Diversification Opportunities for Capgemini and FUJITSU
Poor diversification
The 3 months correlation between Capgemini and FUJITSU is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Capgemini SE and FUJITSU LTD ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FUJITSU LTD ADR and Capgemini 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 Capgemini SE are associated (or correlated) with FUJITSU. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FUJITSU LTD ADR has no effect on the direction of Capgemini i.e., Capgemini and FUJITSU go up and down completely randomly.
Pair Corralation between Capgemini and FUJITSU
Assuming the 90 days horizon Capgemini is expected to generate 4.46 times less return on investment than FUJITSU. But when comparing it to its historical volatility, Capgemini SE is 1.2 times less risky than FUJITSU. It trades about 0.01 of its potential returns per unit of risk. FUJITSU LTD ADR is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 1,170 in FUJITSU LTD ADR on September 12, 2024 and sell it today you would earn a total of 570.00 from holding FUJITSU LTD ADR or generate 48.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capgemini SE vs. FUJITSU LTD ADR
Performance |
| Timeline |
| Capgemini SE |
| FUJITSU LTD ADR |
Capgemini and FUJITSU Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capgemini and FUJITSU
The main advantage of trading using opposite Capgemini and FUJITSU positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capgemini position performs unexpectedly, FUJITSU 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 FUJITSU will offset losses from the drop in FUJITSU's long position.| Capgemini vs. KIMBALL ELECTRONICS | Capgemini vs. WillScot Mobile Mini | Capgemini vs. ARROW ELECTRONICS | Capgemini vs. STORE ELECTRONIC |
| FUJITSU vs. INTER CARS SA | FUJITSU vs. Geely Automobile Holdings | FUJITSU vs. Cars Inc | FUJITSU vs. ARISTOCRAT LEISURE |
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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