Correlation Between Marubeni and ITOCHU
Can any of the company-specific risk be diversified away by investing in both Marubeni and ITOCHU 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 Marubeni and ITOCHU into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Marubeni and ITOCHU, you can compare the effects of market volatilities on Marubeni and ITOCHU 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 Marubeni with a short position of ITOCHU. Check out your portfolio center. Please also check ongoing floating volatility patterns of Marubeni and ITOCHU.
Diversification Opportunities for Marubeni and ITOCHU
Modest diversification
The 3 months correlation between Marubeni and ITOCHU is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Marubeni and ITOCHU in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ITOCHU and Marubeni 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 Marubeni are associated (or correlated) with ITOCHU. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ITOCHU has no effect on the direction of Marubeni i.e., Marubeni and ITOCHU go up and down completely randomly.
Pair Corralation between Marubeni and ITOCHU
Assuming the 90 days horizon Marubeni is expected to generate 0.81 times more return on investment than ITOCHU. However, Marubeni is 1.23 times less risky than ITOCHU. It trades about 0.13 of its potential returns per unit of risk. ITOCHU is currently generating about 0.08 per unit of risk. If you would invest 1,493 in Marubeni on August 25, 2024 and sell it today you would earn a total of 145.00 from holding Marubeni or generate 9.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Marubeni vs. ITOCHU
Performance |
| Timeline |
| Marubeni |
| ITOCHU |
Marubeni and ITOCHU Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Marubeni and ITOCHU
The main advantage of trading using opposite Marubeni and ITOCHU positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Marubeni position performs unexpectedly, ITOCHU 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 ITOCHU will offset losses from the drop in ITOCHU's long position.The idea behind Marubeni and ITOCHU 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.| ITOCHU vs. Sumitomo Corp ADR | ITOCHU vs. Mitsui Co | ITOCHU vs. Marubeni Corp ADR | ITOCHU vs. Mitsubishi 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Other Complementary Tools
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data |