Correlation Between Yuanta Daily and CTBC 15

Can any of the company-specific risk be diversified away by investing in both Yuanta Daily and CTBC 15 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 Yuanta Daily and CTBC 15 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Yuanta Daily CSI and CTBC 15 Developed, you can compare the effects of market volatilities on Yuanta Daily and CTBC 15 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 Yuanta Daily with a short position of CTBC 15. Check out your portfolio center. Please also check ongoing floating volatility patterns of Yuanta Daily and CTBC 15.

Diversification Opportunities for Yuanta Daily and CTBC 15

-0.04

Correlation Coefficient

Yuanta Daily  CTBC 15

Good diversification

The 3 months correlation between Yuanta and CTBC is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Yuanta Daily CSI and CTBC 15 Developed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC 15 Developed and Yuanta Daily 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 Yuanta Daily CSI are associated (or correlated) with CTBC 15. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC 15 Developed has no effect on the direction of Yuanta Daily i.e., Yuanta Daily and CTBC 15 go up and down completely randomly.

Pair Corralation between Yuanta Daily and CTBC 15

Assuming the 90 days trading horizon Yuanta Daily CSI is expected to under-perform the CTBC 15. In addition to that, Yuanta Daily is 3.46 times more volatile than CTBC 15 Developed. It trades about -0.11 of its total potential returns per unit of risk. CTBC 15 Developed is currently generating about -0.09 per unit of volatility. If you would invest  3,348  in CTBC 15 Developed on October 9, 2024 and sell it today you would lose (125.00) from holding CTBC 15 Developed or give up 3.73% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.41%
Values	Daily Returns

Yuanta Daily CSI  vs.  CTBC 15 Developed

Yuanta Daily CSI

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Yuanta Daily CSI has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Etf's basic indicators remain somewhat strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the ETF investors.

CTBC 15 Developed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CTBC 15 Developed has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, CTBC 15 is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Yuanta Daily and CTBC 15

The main advantage of trading using opposite Yuanta Daily and CTBC 15 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Yuanta Daily position performs unexpectedly, CTBC 15 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 CTBC 15 will offset losses from the drop in CTBC 15's long position.

The idea behind Yuanta Daily CSI and CTBC 15 Developed 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.

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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 Valuation module to check real value of public entities based on technical and fundamental data.