Correlation Between Japan Tobacco and Santech Holdings
Can any of the company-specific risk be diversified away by investing in both Japan Tobacco and Santech Holdings 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 Japan Tobacco and Santech Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Japan Tobacco ADR and Santech Holdings Limited, you can compare the effects of market volatilities on Japan Tobacco and Santech Holdings 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 Japan Tobacco with a short position of Santech Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Japan Tobacco and Santech Holdings.
Diversification Opportunities for Japan Tobacco and Santech Holdings
-0.68 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Japan and Santech is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding Japan Tobacco ADR and Santech Holdings Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Santech Holdings and Japan Tobacco 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 Japan Tobacco ADR are associated (or correlated) with Santech Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Santech Holdings has no effect on the direction of Japan Tobacco i.e., Japan Tobacco and Santech Holdings go up and down completely randomly.
Pair Corralation between Japan Tobacco and Santech Holdings
Assuming the 90 days horizon Japan Tobacco ADR is expected to under-perform the Santech Holdings. But the pink sheet apears to be less risky and, when comparing its historical volatility, Japan Tobacco ADR is 70.74 times less risky than Santech Holdings. The pink sheet trades about -0.03 of its potential returns per unit of risk. The Santech Holdings Limited is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 58.00 in Santech Holdings Limited on August 31, 2024 and sell it today you would earn a total of 38.00 from holding Santech Holdings Limited or generate 65.52% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Japan Tobacco ADR vs. Santech Holdings Limited
Performance |
| Timeline |
| Japan Tobacco ADR |
| Santech Holdings |
Japan Tobacco and Santech Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Japan Tobacco and Santech Holdings
The main advantage of trading using opposite Japan Tobacco and Santech Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Japan Tobacco position performs unexpectedly, Santech Holdings 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 Santech Holdings will offset losses from the drop in Santech Holdings' long position.| Japan Tobacco vs. British American Tobacco | Japan Tobacco vs. Imperial Brands PLC | Japan Tobacco vs. RLX Technology | Japan Tobacco vs. British American Tobacco |
| Santech Holdings vs. FDG Electric Vehicles | Santech Holdings vs. Figs Inc | Santech Holdings vs. Visteon Corp | Santech Holdings vs. Adient PLC |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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