Correlation Between PT Steel and Vastned Retail
Can any of the company-specific risk be diversified away by investing in both PT Steel and Vastned Retail 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 PT Steel and Vastned Retail into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Steel Pipe and Vastned Retail NV, you can compare the effects of market volatilities on PT Steel and Vastned Retail 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 PT Steel with a short position of Vastned Retail. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Steel and Vastned Retail.
Diversification Opportunities for PT Steel and Vastned Retail
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between S08 and Vastned is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding PT Steel Pipe and Vastned Retail NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vastned Retail NV and PT Steel 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 PT Steel Pipe are associated (or correlated) with Vastned Retail. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vastned Retail NV has no effect on the direction of PT Steel i.e., PT Steel and Vastned Retail go up and down completely randomly.
Pair Corralation between PT Steel and Vastned Retail
Assuming the 90 days horizon PT Steel Pipe is expected to generate 4.59 times more return on investment than Vastned Retail. However, PT Steel is 4.59 times more volatile than Vastned Retail NV. It trades about 0.0 of its potential returns per unit of risk. Vastned Retail NV is currently generating about -0.01 per unit of risk. If you would invest 1.25 in PT Steel Pipe on October 16, 2024 and sell it today you would lose (0.10) from holding PT Steel Pipe or give up 8.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 94.31% |
| Values | Daily Returns |
PT Steel Pipe vs. Vastned Retail NV
Performance |
| Timeline |
| PT Steel Pipe |
| Vastned Retail NV |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
PT Steel and Vastned Retail Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Steel and Vastned Retail
The main advantage of trading using opposite PT Steel and Vastned Retail positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Steel position performs unexpectedly, Vastned Retail 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 Vastned Retail will offset losses from the drop in Vastned Retail's long position.| PT Steel vs. GMO Internet | PT Steel vs. INTERSHOP Communications Aktiengesellschaft | PT Steel vs. Entravision Communications | PT Steel vs. PLAYMATES TOYS |
| Vastned Retail vs. NH HOTEL GROUP | Vastned Retail vs. COVIVIO HOTELS INH | Vastned Retail vs. HYATT HOTELS A | Vastned Retail vs. Taiwan Semiconductor Manufacturing |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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