Correlation Between Commercial Vehicle and AmerisourceBergen
Can any of the company-specific risk be diversified away by investing in both Commercial Vehicle and AmerisourceBergen 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 Commercial Vehicle and AmerisourceBergen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commercial Vehicle Group and AmerisourceBergen, you can compare the effects of market volatilities on Commercial Vehicle and AmerisourceBergen 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 Commercial Vehicle with a short position of AmerisourceBergen. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commercial Vehicle and AmerisourceBergen.
Diversification Opportunities for Commercial Vehicle and AmerisourceBergen
-0.43 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Commercial and AmerisourceBergen is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Commercial Vehicle Group and AmerisourceBergen in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AmerisourceBergen and Commercial Vehicle 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 Commercial Vehicle Group are associated (or correlated) with AmerisourceBergen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AmerisourceBergen has no effect on the direction of Commercial Vehicle i.e., Commercial Vehicle and AmerisourceBergen go up and down completely randomly.
Pair Corralation between Commercial Vehicle and AmerisourceBergen
Assuming the 90 days trading horizon Commercial Vehicle Group is expected to under-perform the AmerisourceBergen. In addition to that, Commercial Vehicle is 2.58 times more volatile than AmerisourceBergen. It trades about -0.18 of its total potential returns per unit of risk. AmerisourceBergen is currently generating about 0.53 per unit of volatility. If you would invest 21,695 in AmerisourceBergen on November 4, 2024 and sell it today you would earn a total of 2,970 from holding AmerisourceBergen or generate 13.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Commercial Vehicle Group vs. AmerisourceBergen
Performance |
| Timeline |
| Commercial Vehicle |
| AmerisourceBergen |
Commercial Vehicle and AmerisourceBergen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commercial Vehicle and AmerisourceBergen
The main advantage of trading using opposite Commercial Vehicle and AmerisourceBergen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commercial Vehicle position performs unexpectedly, AmerisourceBergen 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 AmerisourceBergen will offset losses from the drop in AmerisourceBergen's long position.| Commercial Vehicle vs. East Africa Metals | Commercial Vehicle vs. DISTRICT METALS | Commercial Vehicle vs. DELTA AIR LINES | Commercial Vehicle vs. Harmony Gold Mining |
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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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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