Correlation Between Export Development and Egyptian Iron
Can any of the company-specific risk be diversified away by investing in both Export Development and Egyptian Iron 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 Export Development and Egyptian Iron into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Export Development Bank and Egyptian Iron Steel, you can compare the effects of market volatilities on Export Development and Egyptian Iron 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 Export Development with a short position of Egyptian Iron. Check out your portfolio center. Please also check ongoing floating volatility patterns of Export Development and Egyptian Iron.
Diversification Opportunities for Export Development and Egyptian Iron
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Export and Egyptian is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Export Development Bank and Egyptian Iron Steel in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Egyptian Iron Steel and Export Development 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 Export Development Bank are associated (or correlated) with Egyptian Iron. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Egyptian Iron Steel has no effect on the direction of Export Development i.e., Export Development and Egyptian Iron go up and down completely randomly.
Pair Corralation between Export Development and Egyptian Iron
Assuming the 90 days trading horizon Export Development Bank is expected to generate 0.7 times more return on investment than Egyptian Iron. However, Export Development Bank is 1.43 times less risky than Egyptian Iron. It trades about -0.09 of its potential returns per unit of risk. Egyptian Iron Steel is currently generating about -0.16 per unit of risk. If you would invest 1,857 in Export Development Bank on September 24, 2024 and sell it today you would lose (57.00) from holding Export Development Bank or give up 3.07% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Export Development Bank vs. Egyptian Iron Steel
Performance |
| Timeline |
| Export Development Bank |
| Egyptian Iron Steel |
Export Development and Egyptian Iron Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Export Development and Egyptian Iron
The main advantage of trading using opposite Export Development and Egyptian Iron positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Export Development position performs unexpectedly, Egyptian Iron 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 Egyptian Iron will offset losses from the drop in Egyptian Iron's long position.| Export Development vs. Memphis Pharmaceuticals | Export Development vs. Paint Chemicals Industries | Export Development vs. Egyptians For Investment | Export Development vs. Global Telecom Holding |
| Egyptian Iron vs. Memphis Pharmaceuticals | Egyptian Iron vs. Paint Chemicals Industries | Egyptian Iron vs. Egyptians For Investment | Egyptian Iron vs. Global Telecom Holding |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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