Correlation Between Glassbox and Petrochemical
Can any of the company-specific risk be diversified away by investing in both Glassbox and Petrochemical 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 Glassbox and Petrochemical into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Glassbox and Petrochemical, you can compare the effects of market volatilities on Glassbox and Petrochemical 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 Glassbox with a short position of Petrochemical. Check out your portfolio center. Please also check ongoing floating volatility patterns of Glassbox and Petrochemical.
Diversification Opportunities for Glassbox and Petrochemical
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Glassbox and Petrochemical is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Glassbox and Petrochemical in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Petrochemical and Glassbox 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 Glassbox are associated (or correlated) with Petrochemical. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Petrochemical has no effect on the direction of Glassbox i.e., Glassbox and Petrochemical go up and down completely randomly.
Pair Corralation between Glassbox and Petrochemical
Assuming the 90 days trading horizon Glassbox is expected to generate 1.0 times more return on investment than Petrochemical. However, Glassbox is 1.0 times less risky than Petrochemical. It trades about 0.06 of its potential returns per unit of risk. Petrochemical is currently generating about -0.08 per unit of risk. If you would invest 343,500 in Glassbox on August 25, 2024 and sell it today you would earn a total of 62,400 from holding Glassbox or generate 18.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 92.2% |
| Values | Daily Returns |
Glassbox vs. Petrochemical
Performance |
| Timeline |
| Glassbox |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Modest
| Petrochemical |
Glassbox and Petrochemical Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Glassbox and Petrochemical
The main advantage of trading using opposite Glassbox and Petrochemical positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Glassbox position performs unexpectedly, Petrochemical 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 Petrochemical will offset losses from the drop in Petrochemical's long position.| Glassbox vs. Nice | Glassbox vs. The Gold Bond | Glassbox vs. Bank Leumi Le Israel | Glassbox vs. ICL Israel Chemicals |
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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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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