Correlation Between GT Capital and AC Energy
Can any of the company-specific risk be diversified away by investing in both GT Capital and AC Energy 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 GT Capital and AC Energy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GT Capital Holdings and AC Energy Philippines, you can compare the effects of market volatilities on GT Capital and AC Energy 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 GT Capital with a short position of AC Energy. Check out your portfolio center. Please also check ongoing floating volatility patterns of GT Capital and AC Energy.
Diversification Opportunities for GT Capital and AC Energy
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between GTCAP and ACEN is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding GT Capital Holdings and AC Energy Philippines in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AC Energy Philippines and GT Capital 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 GT Capital Holdings are associated (or correlated) with AC Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AC Energy Philippines has no effect on the direction of GT Capital i.e., GT Capital and AC Energy go up and down completely randomly.
Pair Corralation between GT Capital and AC Energy
Assuming the 90 days trading horizon GT Capital Holdings is expected to generate 0.79 times more return on investment than AC Energy. However, GT Capital Holdings is 1.27 times less risky than AC Energy. It trades about -0.12 of its potential returns per unit of risk. AC Energy Philippines is currently generating about -0.31 per unit of risk. If you would invest 67,000 in GT Capital Holdings on September 13, 2024 and sell it today you would lose (3,600) from holding GT Capital Holdings or give up 5.37% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
GT Capital Holdings vs. AC Energy Philippines
Performance |
| Timeline |
| GT Capital Holdings |
| AC Energy Philippines |
GT Capital and AC Energy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GT Capital and AC Energy
The main advantage of trading using opposite GT Capital and AC Energy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GT Capital position performs unexpectedly, AC Energy 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 AC Energy will offset losses from the drop in AC Energy's long position.| GT Capital vs. Manulife Financial Corp | GT Capital vs. Philippine Business Bank | GT Capital vs. House of Investments | GT Capital vs. Cebu Air Preferred |
| AC Energy vs. Philex Mining Corp | AC Energy vs. Lepanto Consolidated Mining | AC Energy vs. Atlas Consolidated Mining | AC Energy vs. Union Bank of |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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