Correlation Between Treasury Wine and Brickworks
Can any of the company-specific risk be diversified away by investing in both Treasury Wine and Brickworks 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 Treasury Wine and Brickworks into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Treasury Wine Estates and Brickworks, you can compare the effects of market volatilities on Treasury Wine and Brickworks 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 Treasury Wine with a short position of Brickworks. Check out your portfolio center. Please also check ongoing floating volatility patterns of Treasury Wine and Brickworks.
Diversification Opportunities for Treasury Wine and Brickworks
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Treasury and Brickworks is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Treasury Wine Estates and Brickworks in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brickworks and Treasury Wine 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 Treasury Wine Estates are associated (or correlated) with Brickworks. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brickworks has no effect on the direction of Treasury Wine i.e., Treasury Wine and Brickworks go up and down completely randomly.
Pair Corralation between Treasury Wine and Brickworks
Assuming the 90 days trading horizon Treasury Wine Estates is expected to generate 1.38 times more return on investment than Brickworks. However, Treasury Wine is 1.38 times more volatile than Brickworks. It trades about -0.05 of its potential returns per unit of risk. Brickworks is currently generating about -0.09 per unit of risk. If you would invest 1,156 in Treasury Wine Estates on August 31, 2024 and sell it today you would lose (23.00) from holding Treasury Wine Estates or give up 1.99% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Treasury Wine Estates vs. Brickworks
Performance |
| Timeline |
| Treasury Wine Estates |
| Brickworks |
Treasury Wine and Brickworks Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Treasury Wine and Brickworks
The main advantage of trading using opposite Treasury Wine and Brickworks positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Treasury Wine position performs unexpectedly, Brickworks 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 Brickworks will offset losses from the drop in Brickworks' long position.| Treasury Wine vs. Super Retail Group | Treasury Wine vs. Dexus Convenience Retail | Treasury Wine vs. Retail Food Group | Treasury Wine vs. Computershare |
| Brickworks vs. Treasury Wine Estates | Brickworks vs. Aurelia Metals | Brickworks vs. Sky Metals | Brickworks vs. My Foodie Box |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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