Correlation Between PGE and CEZ A
Can any of the company-specific risk be diversified away by investing in both PGE and CEZ A 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 PGE and CEZ A into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PGE Corporation and CEZ a s, you can compare the effects of market volatilities on PGE and CEZ A 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 PGE with a short position of CEZ A. Check out your portfolio center. Please also check ongoing floating volatility patterns of PGE and CEZ A.
Diversification Opportunities for PGE and CEZ A
Very poor diversification
The 3 months correlation between PGE and CEZ is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding PGE Corp. and CEZ a s in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CEZ a s and PGE 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 PGE Corporation are associated (or correlated) with CEZ A. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CEZ a s has no effect on the direction of PGE i.e., PGE and CEZ A go up and down completely randomly.
Pair Corralation between PGE and CEZ A
Assuming the 90 days horizon PGE Corporation is expected to generate 1.4 times more return on investment than CEZ A. However, PGE is 1.4 times more volatile than CEZ a s. It trades about 0.36 of its potential returns per unit of risk. CEZ a s is currently generating about 0.34 per unit of risk. If you would invest 1,834 in PGE Corporation on August 31, 2024 and sell it today you would earn a total of 210.00 from holding PGE Corporation or generate 11.45% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 95.65% |
Values | Daily Returns |
PGE Corp. vs. CEZ a s
Performance |
Timeline |
PGE Corporation |
CEZ a s |
PGE and CEZ A Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PGE and CEZ A
The main advantage of trading using opposite PGE and CEZ A positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PGE position performs unexpectedly, CEZ A 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 CEZ A will offset losses from the drop in CEZ A's long position.PGE vs. TRAINLINE PLC LS | PGE vs. Gaztransport Technigaz SA | PGE vs. GOLD ROAD RES | PGE vs. Transport International Holdings |
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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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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