Correlation Between Itochu Corp and Griffon
Can any of the company-specific risk be diversified away by investing in both Itochu Corp and Griffon 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 Itochu Corp and Griffon into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itochu Corp ADR and Griffon, you can compare the effects of market volatilities on Itochu Corp and Griffon 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 Itochu Corp with a short position of Griffon. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itochu Corp and Griffon.
Diversification Opportunities for Itochu Corp and Griffon
-0.02 | Correlation Coefficient |
Good diversification
The 3 months correlation between Itochu and Griffon is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Itochu Corp ADR and Griffon in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Griffon and Itochu Corp 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 Itochu Corp ADR are associated (or correlated) with Griffon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Griffon has no effect on the direction of Itochu Corp i.e., Itochu Corp and Griffon go up and down completely randomly.
Pair Corralation between Itochu Corp and Griffon
Assuming the 90 days horizon Itochu Corp is expected to generate 1.46 times less return on investment than Griffon. But when comparing it to its historical volatility, Itochu Corp ADR is 1.62 times less risky than Griffon. It trades about 0.05 of its potential returns per unit of risk. Griffon is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 7,108 in Griffon on August 27, 2024 and sell it today you would earn a total of 1,188 from holding Griffon or generate 16.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Itochu Corp ADR vs. Griffon
Performance |
| Timeline |
| Itochu Corp ADR |
| Griffon |
Itochu Corp and Griffon Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Itochu Corp and Griffon
The main advantage of trading using opposite Itochu Corp and Griffon positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itochu Corp position performs unexpectedly, Griffon 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 Griffon will offset losses from the drop in Griffon's long position.| Itochu Corp vs. Marubeni Corp ADR | Itochu Corp vs. Sumitomo Corp ADR | Itochu Corp vs. Mitsubishi Corp | Itochu Corp vs. Hitachi Ltd ADR |
| Griffon vs. Steel Partners Holdings | Griffon vs. Brookfield Business Partners | Griffon vs. Tejon Ranch Co | Griffon vs. Compass Diversified 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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