Correlation Between DMCI Holdings and Swire Pacific
Can any of the company-specific risk be diversified away by investing in both DMCI Holdings and Swire Pacific 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 Swire Pacific 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 Swire Pacific Ltd, you can compare the effects of market volatilities on DMCI Holdings and Swire Pacific 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 Swire Pacific. Check out your portfolio center. Please also check ongoing floating volatility patterns of DMCI Holdings and Swire Pacific.
Diversification Opportunities for DMCI Holdings and Swire Pacific
-0.07 | Correlation Coefficient |
Good diversification
The 3 months correlation between DMCI and Swire is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding DMCI Holdings ADR and Swire Pacific Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swire Pacific 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 Swire Pacific. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swire Pacific has no effect on the direction of DMCI Holdings i.e., DMCI Holdings and Swire Pacific go up and down completely randomly.
Pair Corralation between DMCI Holdings and Swire Pacific
Assuming the 90 days horizon DMCI Holdings ADR is expected to under-perform the Swire Pacific. But the pink sheet apears to be less risky and, when comparing its historical volatility, DMCI Holdings ADR is 1.55 times less risky than Swire Pacific. The pink sheet trades about -0.03 of its potential returns per unit of risk. The Swire Pacific Ltd is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 652.00 in Swire Pacific Ltd on September 1, 2024 and sell it today you would earn a total of 16.00 from holding Swire Pacific Ltd or generate 2.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 83.2% |
| Values | Daily Returns |
DMCI Holdings ADR vs. Swire Pacific Ltd
Performance |
| Timeline |
| DMCI Holdings ADR |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| Swire Pacific |
DMCI Holdings and Swire Pacific Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with DMCI Holdings and Swire Pacific
The main advantage of trading using opposite DMCI Holdings and Swire Pacific positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DMCI Holdings position performs unexpectedly, Swire Pacific 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 Swire Pacific will offset losses from the drop in Swire Pacific's long position.| DMCI Holdings vs. San Miguel | DMCI Holdings vs. Ayala | DMCI Holdings vs. Teijin | DMCI Holdings vs. Alliance Global Group |
| Swire Pacific vs. CITIC Limited | Swire Pacific vs. Fosun International | Swire Pacific vs. Cibl Inc | Swire Pacific vs. Jardine Matheson Holdings |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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