Correlation Between Sun Art and Dillards
Can any of the company-specific risk be diversified away by investing in both Sun Art and Dillards 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 Sun Art and Dillards into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sun Art Retail and Dillards, you can compare the effects of market volatilities on Sun Art and Dillards 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 Sun Art with a short position of Dillards. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sun Art and Dillards.
Diversification Opportunities for Sun Art and Dillards
Very poor diversification
The 3 months correlation between Sun and Dillards is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Sun Art Retail and Dillards in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dillards and Sun Art 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 Sun Art Retail are associated (or correlated) with Dillards. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dillards has no effect on the direction of Sun Art i.e., Sun Art and Dillards go up and down completely randomly.
Pair Corralation between Sun Art and Dillards
Assuming the 90 days horizon Sun Art Retail is expected to under-perform the Dillards. In addition to that, Sun Art is 1.24 times more volatile than Dillards. It trades about -0.03 of its total potential returns per unit of risk. Dillards is currently generating about 0.3 per unit of volatility. If you would invest 35,000 in Dillards on August 28, 2024 and sell it today you would earn a total of 7,800 from holding Dillards or generate 22.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sun Art Retail vs. Dillards
Performance |
| Timeline |
| Sun Art Retail |
| Dillards |
Sun Art and Dillards Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sun Art and Dillards
The main advantage of trading using opposite Sun Art and Dillards positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sun Art position performs unexpectedly, Dillards 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 Dillards will offset losses from the drop in Dillards' long position.| Sun Art vs. Aeon Co | Sun Art vs. RYOHIN UNSPADR1 | Sun Art vs. Superior Plus Corp | Sun Art vs. Origin Agritech |
| Dillards vs. COSTCO WHOLESALE CDR | Dillards vs. Retail Estates NV | Dillards vs. Chesapeake Utilities | Dillards vs. Lamar Advertising |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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