Correlation Between SGS SA and Valens
Can any of the company-specific risk be diversified away by investing in both SGS SA and Valens 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 SGS SA and Valens into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SGS SA and Valens, you can compare the effects of market volatilities on SGS SA and Valens 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 SGS SA with a short position of Valens. Check out your portfolio center. Please also check ongoing floating volatility patterns of SGS SA and Valens.
Diversification Opportunities for SGS SA and Valens
Very weak diversification
The 3 months correlation between SGS and Valens is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding SGS SA and Valens in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Valens and SGS SA 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 SGS SA are associated (or correlated) with Valens. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Valens has no effect on the direction of SGS SA i.e., SGS SA and Valens go up and down completely randomly.
Pair Corralation between SGS SA and Valens
Assuming the 90 days horizon SGS SA is expected to under-perform the Valens. But the pink sheet apears to be less risky and, when comparing its historical volatility, SGS SA is 3.61 times less risky than Valens. The pink sheet trades about -0.22 of its potential returns per unit of risk. The Valens is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 178.00 in Valens on September 4, 2024 and sell it today you would earn a total of 51.00 from holding Valens or generate 28.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SGS SA vs. Valens
Performance |
| Timeline |
| SGS SA |
| Valens |
SGS SA and Valens Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SGS SA and Valens
The main advantage of trading using opposite SGS SA and Valens positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SGS SA position performs unexpectedly, Valens 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 Valens will offset losses from the drop in Valens' long position.| SGS SA vs. Valens | SGS SA vs. Perseus Mining Limited | SGS SA vs. Vishay Intertechnology | SGS SA vs. MagnaChip Semiconductor |
| Valens vs. Wolfspeed | Valens vs. GSI Technology | Valens vs. Lattice Semiconductor | Valens vs. ON Semiconductor |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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