Correlation Between Capri Holdings and MTA
Can any of the company-specific risk be diversified away by investing in both Capri Holdings and MTA 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 MTA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capri Holdings and MTA, you can compare the effects of market volatilities on Capri Holdings and MTA 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 MTA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and MTA.
Diversification Opportunities for Capri Holdings and MTA
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between Capri and MTA is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings and MTA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MTA 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 MTA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MTA has no effect on the direction of Capri Holdings i.e., Capri Holdings and MTA go up and down completely randomly.
Pair Corralation between Capri Holdings and MTA
Given the investment horizon of 90 days Capri Holdings is expected to generate 4.93 times less return on investment than MTA. But when comparing it to its historical volatility, Capri Holdings is 7.4 times less risky than MTA. It trades about 0.19 of its potential returns per unit of risk. MTA is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 2.98 in MTA on August 30, 2024 and sell it today you would earn a total of 0.27 from holding MTA or generate 9.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capri Holdings vs. MTA
Performance |
| Timeline |
| Capri Holdings |
| MTA |
Capri Holdings and MTA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capri Holdings and MTA
The main advantage of trading using opposite Capri Holdings and MTA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capri Holdings position performs unexpectedly, MTA 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 MTA will offset losses from the drop in MTA'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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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