Correlation Between Duke Energy and Ameren Illinois
Can any of the company-specific risk be diversified away by investing in both Duke Energy and Ameren Illinois 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 Duke Energy and Ameren Illinois into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Duke Energy and Ameren Illinois, you can compare the effects of market volatilities on Duke Energy and Ameren Illinois 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 Duke Energy with a short position of Ameren Illinois. Check out your portfolio center. Please also check ongoing floating volatility patterns of Duke Energy and Ameren Illinois.
Diversification Opportunities for Duke Energy and Ameren Illinois
-0.14 | Correlation Coefficient |
Good diversification
The 3 months correlation between Duke and Ameren is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Duke Energy and Ameren Illinois in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ameren Illinois and Duke Energy 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 Duke Energy are associated (or correlated) with Ameren Illinois. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ameren Illinois has no effect on the direction of Duke Energy i.e., Duke Energy and Ameren Illinois go up and down completely randomly.
Pair Corralation between Duke Energy and Ameren Illinois
Assuming the 90 days trading horizon Duke Energy is expected to generate 1.15 times more return on investment than Ameren Illinois. However, Duke Energy is 1.15 times more volatile than Ameren Illinois. It trades about 0.05 of its potential returns per unit of risk. Ameren Illinois is currently generating about -0.2 per unit of risk. If you would invest 2,475 in Duke Energy on September 2, 2024 and sell it today you would earn a total of 11.00 from holding Duke Energy or generate 0.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Duke Energy vs. Ameren Illinois
Performance |
| Timeline |
| Duke Energy |
| Ameren Illinois |
Duke Energy and Ameren Illinois Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Duke Energy and Ameren Illinois
The main advantage of trading using opposite Duke Energy and Ameren Illinois positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Duke Energy position performs unexpectedly, Ameren Illinois 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 Ameren Illinois will offset losses from the drop in Ameren Illinois' long position.| Duke Energy vs. Centrais Eltricas Brasileiras | Duke Energy vs. Nextera Energy | Duke Energy vs. Consumers Energy | Duke Energy vs. CMS Energy |
| Ameren Illinois vs. Southern Company | Ameren Illinois vs. Duke Energy | Ameren Illinois vs. Duke Energy | Ameren Illinois vs. National Grid PLC |
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 CEOs Directory module to screen CEOs from public companies around the world.
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