Correlation Between MST Investment and Saigon Machinery
Can any of the company-specific risk be diversified away by investing in both MST Investment and Saigon Machinery 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 MST Investment and Saigon Machinery into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MST Investment JSC and Saigon Machinery Spare, you can compare the effects of market volatilities on MST Investment and Saigon Machinery 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 MST Investment with a short position of Saigon Machinery. Check out your portfolio center. Please also check ongoing floating volatility patterns of MST Investment and Saigon Machinery.
Diversification Opportunities for MST Investment and Saigon Machinery
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between MST and Saigon is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding MST Investment JSC and Saigon Machinery Spare in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saigon Machinery Spare and MST Investment 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 MST Investment JSC are associated (or correlated) with Saigon Machinery. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saigon Machinery Spare has no effect on the direction of MST Investment i.e., MST Investment and Saigon Machinery go up and down completely randomly.
Pair Corralation between MST Investment and Saigon Machinery
Assuming the 90 days trading horizon MST Investment is expected to generate 10.48 times less return on investment than Saigon Machinery. But when comparing it to its historical volatility, MST Investment JSC is 1.15 times less risky than Saigon Machinery. It trades about 0.11 of its potential returns per unit of risk. Saigon Machinery Spare is currently generating about 1.03 of returns per unit of risk over similar time horizon. If you would invest 1,090,000 in Saigon Machinery Spare on October 16, 2024 and sell it today you would earn a total of 510,000 from holding Saigon Machinery Spare or generate 46.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 60.0% |
| Values | Daily Returns |
MST Investment JSC vs. Saigon Machinery Spare
Performance |
| Timeline |
| MST Investment JSC |
| Saigon Machinery Spare |
MST Investment and Saigon Machinery Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MST Investment and Saigon Machinery
The main advantage of trading using opposite MST Investment and Saigon Machinery positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MST Investment position performs unexpectedly, Saigon Machinery 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 Saigon Machinery will offset losses from the drop in Saigon Machinery's long position.| MST Investment vs. Elcom Technology Communications | MST Investment vs. Sao Ta Foods | MST Investment vs. Vietnam JSCmmercial Bank | MST Investment vs. Military Insurance Corp |
| Saigon Machinery vs. FIT INVEST JSC | Saigon Machinery vs. Damsan JSC | Saigon Machinery vs. An Phat Plastic | Saigon Machinery vs. APG Securities Joint |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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