Correlation Between Keyence and Fanuc
Can any of the company-specific risk be diversified away by investing in both Keyence and Fanuc 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 Keyence and Fanuc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Keyence and Fanuc, you can compare the effects of market volatilities on Keyence and Fanuc 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 Keyence with a short position of Fanuc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Keyence and Fanuc.
Diversification Opportunities for Keyence and Fanuc
Weak diversification
The 3 months correlation between Keyence and Fanuc is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Keyence and Fanuc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fanuc and Keyence 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 Keyence are associated (or correlated) with Fanuc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fanuc has no effect on the direction of Keyence i.e., Keyence and Fanuc go up and down completely randomly.
Pair Corralation between Keyence and Fanuc
Assuming the 90 days horizon Keyence is expected to generate 11.17 times less return on investment than Fanuc. But when comparing it to its historical volatility, Keyence is 2.12 times less risky than Fanuc. It trades about 0.03 of its potential returns per unit of risk. Fanuc is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 2,500 in Fanuc on August 25, 2024 and sell it today you would earn a total of 317.00 from holding Fanuc or generate 12.68% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Keyence vs. Fanuc
Performance |
| Timeline |
| Keyence |
| Fanuc |
Keyence and Fanuc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Keyence and Fanuc
The main advantage of trading using opposite Keyence and Fanuc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Keyence position performs unexpectedly, Fanuc 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 Fanuc will offset losses from the drop in Fanuc's long position.| Keyence vs. Fortive Corp | Keyence vs. MKS Instruments | Keyence vs. Novanta | Keyence vs. Sensata Technologies Holding |
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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