Correlation Between Fubon MSCI and Run Long

Can any of the company-specific risk be diversified away by investing in both Fubon MSCI and Run Long 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 Fubon MSCI and Run Long into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Fubon MSCI Taiwan and Run Long Construction, you can compare the effects of market volatilities on Fubon MSCI and Run Long 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 Fubon MSCI with a short position of Run Long. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fubon MSCI and Run Long.

Diversification Opportunities for Fubon MSCI and Run Long

-0.61

Correlation Coefficient

Fubon MSCI  Run Long

Excellent diversification

The 3 months correlation between Fubon and Run is -0.61. Overlapping area represents the amount of risk that can be diversified away by holding Fubon MSCI Taiwan and Run Long Construction in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Run Long Construction and Fubon MSCI 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 Fubon MSCI Taiwan are associated (or correlated) with Run Long. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Run Long Construction has no effect on the direction of Fubon MSCI i.e., Fubon MSCI and Run Long go up and down completely randomly.

Pair Corralation between Fubon MSCI and Run Long

Assuming the 90 days trading horizon Fubon MSCI Taiwan is expected to generate 0.36 times more return on investment than Run Long. However, Fubon MSCI Taiwan is 2.78 times less risky than Run Long. It trades about 0.11 of its potential returns per unit of risk. Run Long Construction is currently generating about -0.01 per unit of risk. If you would invest  7,860  in Fubon MSCI Taiwan on September 20, 2024 and sell it today you would earn a total of  6,590  from holding Fubon MSCI Taiwan or generate 83.84% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Fubon MSCI Taiwan  vs.  Run Long Construction

Fubon MSCI Taiwan

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Fubon MSCI Taiwan are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal basic indicators, Fubon MSCI may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Run Long Construction

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Run Long Construction has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of abnormal performance in the last few months, the Stock's basic indicators remain fairly stable which may send shares a bit higher in January 2025. The latest fuss may also be a sign of long-term up-swing for the venture sophisticated investors.

Pair Trading with Fubon MSCI and Run Long

The main advantage of trading using opposite Fubon MSCI and Run Long positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fubon MSCI position performs unexpectedly, Run Long 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 Run Long will offset losses from the drop in Run Long's long position.

The idea behind Fubon MSCI Taiwan and Run Long Construction pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.