Correlation Between Lepanto Consolidated and Ayala Land
Can any of the company-specific risk be diversified away by investing in both Lepanto Consolidated and Ayala Land 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 Lepanto Consolidated and Ayala Land into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lepanto Consolidated Mining and Ayala Land, you can compare the effects of market volatilities on Lepanto Consolidated and Ayala Land 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 Lepanto Consolidated with a short position of Ayala Land. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lepanto Consolidated and Ayala Land.
Diversification Opportunities for Lepanto Consolidated and Ayala Land
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between Lepanto and Ayala is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Lepanto Consolidated Mining and Ayala Land in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ayala Land and Lepanto Consolidated 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 Lepanto Consolidated Mining are associated (or correlated) with Ayala Land. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ayala Land has no effect on the direction of Lepanto Consolidated i.e., Lepanto Consolidated and Ayala Land go up and down completely randomly.
Pair Corralation between Lepanto Consolidated and Ayala Land
Assuming the 90 days trading horizon Lepanto Consolidated Mining is expected to under-perform the Ayala Land. In addition to that, Lepanto Consolidated is 1.71 times more volatile than Ayala Land. It trades about -0.2 of its total potential returns per unit of risk. Ayala Land is currently generating about -0.23 per unit of volatility. If you would invest 3,241 in Ayala Land on September 1, 2024 and sell it today you would lose (381.00) from holding Ayala Land or give up 11.76% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Lepanto Consolidated Mining vs. Ayala Land
Performance |
| Timeline |
| Lepanto Consolidated |
| Ayala Land |
Lepanto Consolidated and Ayala Land Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lepanto Consolidated and Ayala Land
The main advantage of trading using opposite Lepanto Consolidated and Ayala Land positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lepanto Consolidated position performs unexpectedly, Ayala Land 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 Ayala Land will offset losses from the drop in Ayala Land's long position.The idea behind Lepanto Consolidated Mining and Ayala Land pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Ayala Land vs. BDO Unibank | Ayala Land vs. Security Bank Corp | Ayala Land vs. Lepanto Consolidated Mining | Ayala Land vs. Philex Mining Corp |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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