Correlation Between FactSet Research and PACCAR
Can any of the company-specific risk be diversified away by investing in both FactSet Research and PACCAR 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 FactSet Research and PACCAR into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FactSet Research Systems and PACCAR Inc, you can compare the effects of market volatilities on FactSet Research and PACCAR 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 FactSet Research with a short position of PACCAR. Check out your portfolio center. Please also check ongoing floating volatility patterns of FactSet Research and PACCAR.
Diversification Opportunities for FactSet Research and PACCAR
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between FactSet and PACCAR is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and PACCAR Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PACCAR Inc and FactSet Research 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 FactSet Research Systems are associated (or correlated) with PACCAR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PACCAR Inc has no effect on the direction of FactSet Research i.e., FactSet Research and PACCAR go up and down completely randomly.
Pair Corralation between FactSet Research and PACCAR
Considering the 90-day investment horizon FactSet Research is expected to generate 2.57 times less return on investment than PACCAR. But when comparing it to its historical volatility, FactSet Research Systems is 1.2 times less risky than PACCAR. It trades about 0.04 of its potential returns per unit of risk. PACCAR Inc is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 6,206 in PACCAR Inc on September 19, 2024 and sell it today you would earn a total of 4,572 from holding PACCAR Inc or generate 73.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
FactSet Research Systems vs. PACCAR Inc
Performance |
| Timeline |
| FactSet Research Systems |
| PACCAR Inc |
FactSet Research and PACCAR Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with FactSet Research and PACCAR
The main advantage of trading using opposite FactSet Research and PACCAR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FactSet Research position performs unexpectedly, PACCAR 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 PACCAR will offset losses from the drop in PACCAR's long position.| FactSet Research vs. Dun Bradstreet Holdings | FactSet Research vs. Moodys | FactSet Research vs. MSCI Inc | FactSet Research vs. Intercontinental Exchange |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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