Correlation Between Frasers Property and Asset Five
Can any of the company-specific risk be diversified away by investing in both Frasers Property and Asset Five 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 Frasers Property and Asset Five into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frasers Property Public and Asset Five Group, you can compare the effects of market volatilities on Frasers Property and Asset Five 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 Frasers Property with a short position of Asset Five. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frasers Property and Asset Five.
Diversification Opportunities for Frasers Property and Asset Five
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Frasers and Asset is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Frasers Property Public and Asset Five Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Asset Five Group and Frasers Property 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 Frasers Property Public are associated (or correlated) with Asset Five. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Asset Five Group has no effect on the direction of Frasers Property i.e., Frasers Property and Asset Five go up and down completely randomly.
Pair Corralation between Frasers Property and Asset Five
Assuming the 90 days trading horizon Frasers Property Public is expected to under-perform the Asset Five. But the stock apears to be less risky and, when comparing its historical volatility, Frasers Property Public is 1.16 times less risky than Asset Five. The stock trades about -0.48 of its potential returns per unit of risk. The Asset Five Group is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 254.00 in Asset Five Group on December 1, 2024 and sell it today you would lose (10.00) from holding Asset Five Group or give up 3.94% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Frasers Property Public vs. Asset Five Group
Performance |
| Timeline |
| Frasers Property Public |
| Asset Five Group |
Frasers Property and Asset Five Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Frasers Property and Asset Five
The main advantage of trading using opposite Frasers Property and Asset Five positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frasers Property position performs unexpectedly, Asset Five 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 Asset Five will offset losses from the drop in Asset Five's long position.| Frasers Property vs. AP Public | Frasers Property vs. Electricity Generating Public | Frasers Property vs. Com7 PCL | Frasers Property vs. Bangkok Dusit Medical |
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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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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