Correlation Between CTBC Treasury and CTBC TIP

Can any of the company-specific risk be diversified away by investing in both CTBC Treasury and CTBC TIP 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 CTBC TIP 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 CTBC TIP Customized, you can compare the effects of market volatilities on CTBC Treasury and CTBC TIP 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 CTBC TIP. Check out your portfolio center. Please also check ongoing floating volatility patterns of CTBC Treasury and CTBC TIP.

Diversification Opportunities for CTBC Treasury and CTBC TIP

0.47

Correlation Coefficient

CTBC Treasury  CTBC TIP

Very weak diversification

The 3 months correlation between CTBC and CTBC is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding CTBC Treasury 20 and CTBC TIP Customized in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC TIP Customized 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 CTBC TIP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC TIP Customized has no effect on the direction of CTBC Treasury i.e., CTBC Treasury and CTBC TIP go up and down completely randomly.

Pair Corralation between CTBC Treasury and CTBC TIP

Assuming the 90 days trading horizon CTBC Treasury 20 is expected to generate 0.99 times more return on investment than CTBC TIP. However, CTBC Treasury 20 is 1.01 times less risky than CTBC TIP. It trades about 0.12 of its potential returns per unit of risk. CTBC TIP Customized is currently generating about 0.05 per unit of risk. If you would invest  2,864  in CTBC Treasury 20 on December 21, 2024 and sell it today you would earn a total of  145.00  from holding CTBC Treasury 20 or generate 5.06% return on investment over 90 days.

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

CTBC Treasury 20  vs.  CTBC TIP Customized

CTBC Treasury 20

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in CTBC Treasury 20 are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. 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.

CTBC TIP Customized

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in CTBC TIP Customized are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, CTBC TIP is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with CTBC Treasury and CTBC TIP

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

The idea behind CTBC Treasury 20 and CTBC TIP Customized 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.