Correlation Between Capri Holdings and State Street
Can any of the company-specific risk be diversified away by investing in both Capri Holdings and State Street 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 State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capri Holdings and State Street Aggregate, you can compare the effects of market volatilities on Capri Holdings and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and State Street.
Diversification Opportunities for Capri Holdings and State Street
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Capri and State is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings and State Street Aggregate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Aggregate 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Aggregate has no effect on the direction of Capri Holdings i.e., Capri Holdings and State Street go up and down completely randomly.
Pair Corralation between Capri Holdings and State Street
Given the investment horizon of 90 days Capri Holdings is expected to under-perform the State Street. In addition to that, Capri Holdings is 9.75 times more volatile than State Street Aggregate. It trades about -0.03 of its total potential returns per unit of risk. State Street Aggregate is currently generating about 0.03 per unit of volatility. If you would invest 8,404 in State Street Aggregate on August 29, 2024 and sell it today you would earn a total of 512.00 from holding State Street Aggregate or generate 6.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capri Holdings vs. State Street Aggregate
Performance |
| Timeline |
| Capri Holdings |
| State Street Aggregate |
Capri Holdings and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capri Holdings and State Street
The main advantage of trading using opposite Capri Holdings and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capri Holdings position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Capri Holdings vs. Movado Group | Capri Holdings vs. Signet Jewelers | Capri Holdings vs. Lanvin Group Holdings | Capri Holdings vs. TheRealReal |
| State Street vs. Transamerica Large Cap | State Street vs. Pace Large Value | State Street vs. Tax Managed Large Cap | State Street vs. Aqr Large Cap |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
Other Complementary Tools
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk |