Correlation Between CTBC Treasury and Yuanta Daily

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

By analyzing existing cross correlation between CTBC Treasury 20 and Yuanta Daily Taiwan, you can compare the effects of market volatilities on CTBC Treasury and Yuanta Daily 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 CTBC Treasury with a short position of Yuanta Daily. Check out your portfolio center. Please also check ongoing floating volatility patterns of CTBC Treasury and Yuanta Daily.

Diversification Opportunities for CTBC Treasury and Yuanta Daily

-0.17

Correlation Coefficient

CTBC Treasury  Yuanta Daily

Good diversification

The 3 months correlation between CTBC and Yuanta is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding CTBC Treasury 20 and Yuanta Daily Taiwan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yuanta Daily Taiwan and CTBC Treasury 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 CTBC Treasury 20 are associated (or correlated) with Yuanta Daily. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yuanta Daily Taiwan has no effect on the direction of CTBC Treasury i.e., CTBC Treasury and Yuanta Daily go up and down completely randomly.

Pair Corralation between CTBC Treasury and Yuanta Daily

Assuming the 90 days trading horizon CTBC Treasury 20 is expected to under-perform the Yuanta Daily. But the etf apears to be less risky and, when comparing its historical volatility, CTBC Treasury 20 is 32.55 times less risky than Yuanta Daily. The etf trades about -0.01 of its potential returns per unit of risk. The Yuanta Daily Taiwan is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  540.00  in Yuanta Daily Taiwan on October 10, 2024 and sell it today you would earn a total of  1,677  from holding Yuanta Daily Taiwan or generate 310.56% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.79%
Values	Daily Returns

CTBC Treasury 20  vs.  Yuanta Daily Taiwan

CTBC Treasury 20

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CTBC Treasury 20 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, CTBC Treasury is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Yuanta Daily Taiwan

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Yuanta Daily Taiwan are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Yuanta Daily sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with CTBC Treasury and Yuanta Daily

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

The idea behind CTBC Treasury 20 and Yuanta Daily Taiwan 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.