Correlation Between CommScope Holding and Lumentum Holdings
Can any of the company-specific risk be diversified away by investing in both CommScope Holding and Lumentum Holdings 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 CommScope Holding and Lumentum Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CommScope Holding Co and Lumentum Holdings, you can compare the effects of market volatilities on CommScope Holding and Lumentum Holdings 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 CommScope Holding with a short position of Lumentum Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of CommScope Holding and Lumentum Holdings.
Diversification Opportunities for CommScope Holding and Lumentum Holdings
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between CommScope and Lumentum is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding CommScope Holding Co and Lumentum Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lumentum Holdings and CommScope Holding 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 CommScope Holding Co are associated (or correlated) with Lumentum Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lumentum Holdings has no effect on the direction of CommScope Holding i.e., CommScope Holding and Lumentum Holdings go up and down completely randomly.
Pair Corralation between CommScope Holding and Lumentum Holdings
Given the investment horizon of 90 days CommScope Holding Co is expected to under-perform the Lumentum Holdings. In addition to that, CommScope Holding is 1.76 times more volatile than Lumentum Holdings. It trades about -0.18 of its total potential returns per unit of risk. Lumentum Holdings is currently generating about 0.37 per unit of volatility. If you would invest 6,387 in Lumentum Holdings on September 1, 2024 and sell it today you would earn a total of 2,310 from holding Lumentum Holdings or generate 36.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CommScope Holding Co vs. Lumentum Holdings
Performance |
| Timeline |
| CommScope Holding |
| Lumentum Holdings |
CommScope Holding and Lumentum Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CommScope Holding and Lumentum Holdings
The main advantage of trading using opposite CommScope Holding and Lumentum Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CommScope Holding position performs unexpectedly, Lumentum Holdings 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 Lumentum Holdings will offset losses from the drop in Lumentum Holdings' long position.| CommScope Holding vs. Harmonic | CommScope Holding vs. NETGEAR | CommScope Holding vs. Comtech Telecommunications Corp | CommScope Holding vs. ADTRAN Inc |
| Lumentum Holdings vs. NETGEAR | Lumentum Holdings vs. KVH Industries | Lumentum Holdings vs. Telesat Corp | Lumentum Holdings vs. Juniper Networks |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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