Correlation Between Energisa and BeiGene
Can any of the company-specific risk be diversified away by investing in both Energisa and BeiGene 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 Energisa and BeiGene into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Energisa SA and BeiGene, you can compare the effects of market volatilities on Energisa and BeiGene 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 Energisa with a short position of BeiGene. Check out your portfolio center. Please also check ongoing floating volatility patterns of Energisa and BeiGene.
Diversification Opportunities for Energisa and BeiGene
Very good diversification
The 3 months correlation between Energisa and BeiGene is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Energisa SA and BeiGene in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BeiGene and Energisa 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 Energisa SA are associated (or correlated) with BeiGene. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BeiGene has no effect on the direction of Energisa i.e., Energisa and BeiGene go up and down completely randomly.
Pair Corralation between Energisa and BeiGene
Assuming the 90 days trading horizon Energisa SA is expected to under-perform the BeiGene. But the stock apears to be less risky and, when comparing its historical volatility, Energisa SA is 1.9 times less risky than BeiGene. The stock trades about -0.07 of its potential returns per unit of risk. The BeiGene is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 3,080 in BeiGene on August 31, 2024 and sell it today you would earn a total of 2,056 from holding BeiGene or generate 66.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Energisa SA vs. BeiGene
Performance |
| Timeline |
| Energisa SA |
| BeiGene |
Energisa and BeiGene Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Energisa and BeiGene
The main advantage of trading using opposite Energisa and BeiGene positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Energisa position performs unexpectedly, BeiGene 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 BeiGene will offset losses from the drop in BeiGene's long position.| Energisa vs. Equatorial Energia SA | Energisa vs. CPFL Energia SA | Energisa vs. Eneva SA | Energisa vs. Companhia de Saneamento |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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