Correlation Between Swire Pacific and DMCI Holdings
Can any of the company-specific risk be diversified away by investing in both Swire Pacific 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 Swire Pacific and DMCI Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Swire Pacific Ltd and DMCI Holdings ADR, you can compare the effects of market volatilities on Swire Pacific 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 Swire Pacific with a short position of DMCI Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swire Pacific and DMCI Holdings.
Diversification Opportunities for Swire Pacific and DMCI Holdings
-0.07 | Correlation Coefficient |
Good diversification
The 3 months correlation between Swire and DMCI is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Swire Pacific Ltd and DMCI Holdings ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DMCI Holdings ADR and Swire Pacific 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 Swire Pacific Ltd 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 ADR has no effect on the direction of Swire Pacific i.e., Swire Pacific and DMCI Holdings go up and down completely randomly.
Pair Corralation between Swire Pacific and DMCI Holdings
Assuming the 90 days horizon Swire Pacific Ltd is expected to generate 1.55 times more return on investment than DMCI Holdings. However, Swire Pacific is 1.55 times more volatile than DMCI Holdings ADR. It trades about 0.02 of its potential returns per unit of risk. DMCI Holdings ADR is currently generating about -0.03 per unit of risk. If you would invest 652.00 in Swire Pacific Ltd on September 1, 2024 and sell it today you would earn a total of 16.00 from holding Swire Pacific Ltd or generate 2.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 83.2% |
| Values | Daily Returns |
Swire Pacific Ltd vs. DMCI Holdings ADR
Performance |
| Timeline |
| Swire Pacific |
| DMCI Holdings ADR |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Swire Pacific and DMCI Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Swire Pacific and DMCI Holdings
The main advantage of trading using opposite Swire Pacific and DMCI Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swire Pacific 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.| Swire Pacific vs. CITIC Limited | Swire Pacific vs. Fosun International | Swire Pacific vs. Cibl Inc | Swire Pacific vs. Jardine Matheson Holdings |
| DMCI Holdings vs. San Miguel | DMCI Holdings vs. Ayala | DMCI Holdings vs. Teijin | 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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