Correlation Between Tokyo Electron and Advantest
Can any of the company-specific risk be diversified away by investing in both Tokyo Electron and Advantest 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 Tokyo Electron and Advantest into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Tokyo Electron and Advantest, you can compare the effects of market volatilities on Tokyo Electron and Advantest 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 Tokyo Electron with a short position of Advantest. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tokyo Electron and Advantest.
Diversification Opportunities for Tokyo Electron and Advantest
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Tokyo and Advantest is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Tokyo Electron and Advantest in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Advantest and Tokyo Electron 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 Tokyo Electron are associated (or correlated) with Advantest. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Advantest has no effect on the direction of Tokyo Electron i.e., Tokyo Electron and Advantest go up and down completely randomly.
Pair Corralation between Tokyo Electron and Advantest
Assuming the 90 days horizon Tokyo Electron is expected to under-perform the Advantest. But the pink sheet apears to be less risky and, when comparing its historical volatility, Tokyo Electron is 1.07 times less risky than Advantest. The pink sheet trades about -0.04 of its potential returns per unit of risk. The Advantest is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest 5,104 in Advantest on August 24, 2024 and sell it today you would earn a total of 1,146 from holding Advantest or generate 22.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Tokyo Electron vs. Advantest
Performance |
| Timeline |
| Tokyo Electron |
| Advantest |
Tokyo Electron and Advantest Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Tokyo Electron and Advantest
The main advantage of trading using opposite Tokyo Electron and Advantest positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tokyo Electron position performs unexpectedly, Advantest 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 Advantest will offset losses from the drop in Advantest's long position.| Tokyo Electron vs. ASML Holding NV | Tokyo Electron vs. ASML Holding NV | Tokyo Electron vs. Applied Materials | Tokyo Electron vs. Lam Research Corp |
| Advantest vs. ASML Holding NV | Advantest vs. ASML Holding NV | Advantest vs. Applied Materials | Advantest vs. Lam Research Corp |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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