Correlation Between Capri Holdings and MONA
Can any of the company-specific risk be diversified away by investing in both Capri Holdings and MONA 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 Capri Holdings and MONA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capri Holdings and MONA, you can compare the effects of market volatilities on Capri Holdings and MONA 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 Capri Holdings with a short position of MONA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and MONA.
Diversification Opportunities for Capri Holdings and MONA
-0.18 | Correlation Coefficient |
Good diversification
The 3 months correlation between Capri and MONA is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings and MONA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MONA and Capri Holdings 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 Capri Holdings are associated (or correlated) with MONA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MONA has no effect on the direction of Capri Holdings i.e., Capri Holdings and MONA go up and down completely randomly.
Pair Corralation between Capri Holdings and MONA
Given the investment horizon of 90 days Capri Holdings is expected to under-perform the MONA. But the stock apears to be less risky and, when comparing its historical volatility, Capri Holdings is 1.46 times less risky than MONA. The stock trades about -0.26 of its potential returns per unit of risk. The MONA is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 26.00 in MONA on November 27, 2024 and sell it today you would lose (2.00) from holding MONA or give up 7.69% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Capri Holdings vs. MONA
Performance |
| Timeline |
| Capri Holdings |
| MONA |
Capri Holdings and MONA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capri Holdings and MONA
The main advantage of trading using opposite Capri Holdings and MONA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capri Holdings position performs unexpectedly, MONA 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 MONA will offset losses from the drop in MONA's long position.| Capri Holdings vs. Movado Group | Capri Holdings vs. Signet Jewelers | Capri Holdings vs. Lanvin Group Holdings | Capri Holdings vs. TheRealReal |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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