Correlation Between Compa Sibiu and Teraplast Bist
Can any of the company-specific risk be diversified away by investing in both Compa Sibiu and Teraplast Bist 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 Compa Sibiu and Teraplast Bist into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Compa Sibiu and Teraplast Bist, you can compare the effects of market volatilities on Compa Sibiu and Teraplast Bist 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 Compa Sibiu with a short position of Teraplast Bist. Check out your portfolio center. Please also check ongoing floating volatility patterns of Compa Sibiu and Teraplast Bist.
Diversification Opportunities for Compa Sibiu and Teraplast Bist
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Compa and Teraplast is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Compa Sibiu and Teraplast Bist in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Teraplast Bist and Compa Sibiu 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 Compa Sibiu are associated (or correlated) with Teraplast Bist. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Teraplast Bist has no effect on the direction of Compa Sibiu i.e., Compa Sibiu and Teraplast Bist go up and down completely randomly.
Pair Corralation between Compa Sibiu and Teraplast Bist
Assuming the 90 days trading horizon Compa Sibiu is expected to generate 1.34 times more return on investment than Teraplast Bist. However, Compa Sibiu is 1.34 times more volatile than Teraplast Bist. It trades about 0.04 of its potential returns per unit of risk. Teraplast Bist is currently generating about -0.03 per unit of risk. If you would invest 39.00 in Compa Sibiu on August 28, 2024 and sell it today you would earn a total of 13.00 from holding Compa Sibiu or generate 33.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.59% |
| Values | Daily Returns |
Compa Sibiu vs. Teraplast Bist
Performance |
| Timeline |
| Compa Sibiu |
| Teraplast Bist |
Compa Sibiu and Teraplast Bist Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Compa Sibiu and Teraplast Bist
The main advantage of trading using opposite Compa Sibiu and Teraplast Bist positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Compa Sibiu position performs unexpectedly, Teraplast Bist 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 Teraplast Bist will offset losses from the drop in Teraplast Bist's long position.| Compa Sibiu vs. Compania Hoteliera InterContinental | Compa Sibiu vs. Digi Communications NV | Compa Sibiu vs. IHUNT TECHNOLOGY IMPORT EXPORT | Compa Sibiu vs. AROBS TRANSILVANIA SOFTWARE |
| Teraplast Bist vs. AROBS TRANSILVANIA SOFTWARE | Teraplast Bist vs. Compania Hoteliera InterContinental | Teraplast Bist vs. Infinity Capital Investments | Teraplast Bist vs. Digi Communications NV |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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