Correlation Between KOMATSU and GREENLIGHT CAP
Can any of the company-specific risk be diversified away by investing in both KOMATSU and GREENLIGHT CAP 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 KOMATSU and GREENLIGHT CAP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between KOMATSU LTD SPONS and GREENLIGHT CAP RE, you can compare the effects of market volatilities on KOMATSU and GREENLIGHT CAP 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 KOMATSU with a short position of GREENLIGHT CAP. Check out your portfolio center. Please also check ongoing floating volatility patterns of KOMATSU and GREENLIGHT CAP.
Diversification Opportunities for KOMATSU and GREENLIGHT CAP
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between KOMATSU and GREENLIGHT is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding KOMATSU LTD SPONS and GREENLIGHT CAP RE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GREENLIGHT CAP RE and KOMATSU 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 KOMATSU LTD SPONS are associated (or correlated) with GREENLIGHT CAP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GREENLIGHT CAP RE has no effect on the direction of KOMATSU i.e., KOMATSU and GREENLIGHT CAP go up and down completely randomly.
Pair Corralation between KOMATSU and GREENLIGHT CAP
Assuming the 90 days trading horizon KOMATSU is expected to generate 1.43 times less return on investment than GREENLIGHT CAP. In addition to that, KOMATSU is 1.06 times more volatile than GREENLIGHT CAP RE. It trades about 0.04 of its total potential returns per unit of risk. GREENLIGHT CAP RE is currently generating about 0.06 per unit of volatility. If you would invest 865.00 in GREENLIGHT CAP RE on October 12, 2024 and sell it today you would earn a total of 485.00 from holding GREENLIGHT CAP RE or generate 56.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
KOMATSU LTD SPONS vs. GREENLIGHT CAP RE
Performance |
| Timeline |
| KOMATSU LTD SPONS |
| GREENLIGHT CAP RE |
KOMATSU and GREENLIGHT CAP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with KOMATSU and GREENLIGHT CAP
The main advantage of trading using opposite KOMATSU and GREENLIGHT CAP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if KOMATSU position performs unexpectedly, GREENLIGHT CAP 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 GREENLIGHT CAP will offset losses from the drop in GREENLIGHT CAP's long position.| KOMATSU vs. Ribbon Communications | KOMATSU vs. NTT DATA | KOMATSU vs. Charter Communications | KOMATSU vs. Hyrican Informationssysteme Aktiengesellschaft |
| GREENLIGHT CAP vs. TITANIUM TRANSPORTGROUP | GREENLIGHT CAP vs. Liberty Broadband | GREENLIGHT CAP vs. UNITED RENTALS | GREENLIGHT CAP vs. Texas Roadhouse |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
Other Complementary Tools
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments |