Correlation Between Isetan Mitsukoshi and Dillards

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

By analyzing existing cross correlation between Isetan Mitsukoshi Holdings and Dillards, you can compare the effects of market volatilities on Isetan Mitsukoshi and Dillards 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 Isetan Mitsukoshi with a short position of Dillards. Check out your portfolio center. Please also check ongoing floating volatility patterns of Isetan Mitsukoshi and Dillards.

Diversification Opportunities for Isetan Mitsukoshi and Dillards

0.1

Correlation Coefficient

Isetan Mitsukoshi  Dillards

Average diversification

The 3 months correlation between Isetan and Dillards is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Isetan Mitsukoshi Holdings and Dillards in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dillards and Isetan Mitsukoshi 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 Isetan Mitsukoshi Holdings are associated (or correlated) with Dillards. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dillards has no effect on the direction of Isetan Mitsukoshi i.e., Isetan Mitsukoshi and Dillards go up and down completely randomly.

Pair Corralation between Isetan Mitsukoshi and Dillards

Assuming the 90 days horizon Isetan Mitsukoshi is expected to generate 1.05 times less return on investment than Dillards. In addition to that, Isetan Mitsukoshi is 1.07 times more volatile than Dillards. It trades about 0.04 of its total potential returns per unit of risk. Dillards is currently generating about 0.05 per unit of volatility. If you would invest  26,485  in Dillards on September 23, 2024 and sell it today you would earn a total of  14,715  from holding Dillards or generate 55.56% return on investment over 90 days.

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

Isetan Mitsukoshi Holdings  vs.  Dillards

Isetan Mitsukoshi

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Isetan Mitsukoshi Holdings are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Isetan Mitsukoshi may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Dillards

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Dillards are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Dillards reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Isetan Mitsukoshi and Dillards

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

The idea behind Isetan Mitsukoshi Holdings and Dillards 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.