Correlation Between THE PHILIPPINE and DMCI Holdings
Can any of the company-specific risk be diversified away by investing in both THE PHILIPPINE and DMCI Holdings 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 THE PHILIPPINE and DMCI Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between THE PHILIPPINE STOCK and DMCI Holdings, you can compare the effects of market volatilities on THE PHILIPPINE and DMCI Holdings 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 THE PHILIPPINE with a short position of DMCI Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of THE PHILIPPINE and DMCI Holdings.
Diversification Opportunities for THE PHILIPPINE and DMCI Holdings
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between THE and DMCI is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding THE PHILIPPINE STOCK and DMCI Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DMCI Holdings and THE PHILIPPINE 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 THE PHILIPPINE STOCK are associated (or correlated) with DMCI Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DMCI Holdings has no effect on the direction of THE PHILIPPINE i.e., THE PHILIPPINE and DMCI Holdings go up and down completely randomly.
Pair Corralation between THE PHILIPPINE and DMCI Holdings
Assuming the 90 days trading horizon THE PHILIPPINE STOCK is expected to generate 0.7 times more return on investment than DMCI Holdings. However, THE PHILIPPINE STOCK is 1.42 times less risky than DMCI Holdings. It trades about 0.04 of its potential returns per unit of risk. DMCI Holdings is currently generating about -0.03 per unit of risk. If you would invest 643,310 in THE PHILIPPINE STOCK on August 29, 2024 and sell it today you would earn a total of 26,949 from holding THE PHILIPPINE STOCK or generate 4.19% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
THE PHILIPPINE STOCK vs. DMCI Holdings
Performance |
| Timeline |
THE PHILIPPINE and DMCI Holdings Volatility Contrast
Predicted Return Density |
| Returns |
THE PHILIPPINE STOCK
Pair trading matchups for THE PHILIPPINE
DMCI Holdings
Pair trading matchups for DMCI Holdings
Pair Trading with THE PHILIPPINE and DMCI Holdings
The main advantage of trading using opposite THE PHILIPPINE and DMCI Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if THE PHILIPPINE position performs unexpectedly, DMCI Holdings 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 DMCI Holdings will offset losses from the drop in DMCI Holdings' long position.| THE PHILIPPINE vs. Lepanto Consolidated Mining | THE PHILIPPINE vs. Top Frontier Investment | THE PHILIPPINE vs. Jollibee Foods Corp | THE PHILIPPINE vs. Apex Mining Co |
| DMCI Holdings vs. SM Investments Corp | DMCI Holdings vs. Ayala Corp | DMCI Holdings vs. Alliance Global Group |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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