Correlation Between GT Capital and Araneta Properties
Can any of the company-specific risk be diversified away by investing in both GT Capital and Araneta Properties 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 Araneta Properties 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 Araneta Properties, you can compare the effects of market volatilities on GT Capital and Araneta Properties 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 Araneta Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of GT Capital and Araneta Properties.
Diversification Opportunities for GT Capital and Araneta Properties
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GTCAP and Araneta is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding GT Capital Holdings and Araneta Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Araneta Properties 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 Araneta Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Araneta Properties has no effect on the direction of GT Capital i.e., GT Capital and Araneta Properties go up and down completely randomly.
Pair Corralation between GT Capital and Araneta Properties
Assuming the 90 days trading horizon GT Capital Holdings is expected to under-perform the Araneta Properties. But the stock apears to be less risky and, when comparing its historical volatility, GT Capital Holdings is 1.05 times less risky than Araneta Properties. The stock trades about -0.18 of its potential returns per unit of risk. The Araneta Properties is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 52.00 in Araneta Properties on October 20, 2024 and sell it today you would earn a total of 2.00 from holding Araneta Properties or generate 3.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GT Capital Holdings vs. Araneta Properties
Performance |
| Timeline |
| GT Capital Holdings |
| Araneta Properties |
GT Capital and Araneta Properties Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GT Capital and Araneta Properties
The main advantage of trading using opposite GT Capital and Araneta Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GT Capital position performs unexpectedly, Araneta Properties 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 Araneta Properties will offset losses from the drop in Araneta Properties' long position.| GT Capital vs. Apex Mining Co | GT Capital vs. Security Bank Corp | GT Capital vs. Asia United Bank | GT Capital vs. Crown Asia Chemicals |
| Araneta Properties vs. Metropolitan Bank Trust | Araneta Properties vs. Crown Asia Chemicals | Araneta Properties vs. National Reinsurance | Araneta Properties vs. Prime Media Holdings |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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