Correlation Between GPT and Suntory Beverage

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

By analyzing existing cross correlation between GPT Group and Suntory Beverage Food, you can compare the effects of market volatilities on GPT and Suntory Beverage 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 GPT with a short position of Suntory Beverage. Check out your portfolio center. Please also check ongoing floating volatility patterns of GPT and Suntory Beverage.

Diversification Opportunities for GPT and Suntory Beverage

0.72

Correlation Coefficient

GPT  Suntory Beverage

Poor diversification

The 3 months correlation between GPT and Suntory is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding GPT Group and Suntory Beverage Food in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Suntory Beverage Food and GPT 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 GPT Group are associated (or correlated) with Suntory Beverage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Suntory Beverage Food has no effect on the direction of GPT i.e., GPT and Suntory Beverage go up and down completely randomly.

Pair Corralation between GPT and Suntory Beverage

Assuming the 90 days horizon GPT Group is expected to generate 1.58 times more return on investment than Suntory Beverage. However, GPT is 1.58 times more volatile than Suntory Beverage Food. It trades about 0.04 of its potential returns per unit of risk. Suntory Beverage Food is currently generating about -0.02 per unit of risk. If you would invest  232.00  in GPT Group on October 4, 2024 and sell it today you would earn a total of  27.00  from holding GPT Group or generate 11.64% return on investment over 90 days.

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

GPT Group  vs.  Suntory Beverage Food

GPT Group

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days GPT Group has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest unsteady performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

Suntory Beverage Food

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Suntory Beverage Food has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest fragile performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

Pair Trading with GPT and Suntory Beverage

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

The idea behind GPT Group and Suntory Beverage Food 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.