Correlation Between DMCI Holdings and Keppel
Can any of the company-specific risk be diversified away by investing in both DMCI Holdings and Keppel 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 DMCI Holdings and Keppel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between DMCI Holdings ADR and Keppel Limited, you can compare the effects of market volatilities on DMCI Holdings and Keppel 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 DMCI Holdings with a short position of Keppel. Check out your portfolio center. Please also check ongoing floating volatility patterns of DMCI Holdings and Keppel.
Diversification Opportunities for DMCI Holdings and Keppel
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between DMCI and Keppel is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding DMCI Holdings ADR and Keppel Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Keppel Limited and DMCI 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 DMCI Holdings ADR are associated (or correlated) with Keppel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Keppel Limited has no effect on the direction of DMCI Holdings i.e., DMCI Holdings and Keppel go up and down completely randomly.
Pair Corralation between DMCI Holdings and Keppel
Assuming the 90 days horizon DMCI Holdings ADR is expected to generate 1.1 times more return on investment than Keppel. However, DMCI Holdings is 1.1 times more volatile than Keppel Limited. It trades about 0.05 of its potential returns per unit of risk. Keppel Limited is currently generating about 0.04 per unit of risk. If you would invest 154.00 in DMCI Holdings ADR on September 19, 2024 and sell it today you would earn a total of 56.00 from holding DMCI Holdings ADR or generate 36.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 61.96% |
| Values | Daily Returns |
DMCI Holdings ADR vs. Keppel Limited
Performance |
| Timeline |
| DMCI Holdings ADR |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| Keppel Limited |
DMCI Holdings and Keppel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with DMCI Holdings and Keppel
The main advantage of trading using opposite DMCI Holdings and Keppel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DMCI Holdings position performs unexpectedly, Keppel 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 Keppel will offset losses from the drop in Keppel's long position.| DMCI Holdings vs. San Miguel | DMCI Holdings vs. Ayala | DMCI Holdings vs. Teijin | DMCI Holdings vs. Alliance Global Group |
| Keppel vs. Arca Continental SAB | Keppel vs. Becle SA de | Keppel vs. Aquagold International | Keppel vs. Morningstar Unconstrained Allocation |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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