Correlation Between Ambev SA and Toshiba

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

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

Diversification Opportunities for Ambev SA and Toshiba

0.31

Correlation Coefficient

Ambev SA  Toshiba

Weak diversification

The 3 months correlation between Ambev and Toshiba is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Ambev SA ADR and Toshiba in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Toshiba and Ambev SA 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 Ambev SA ADR are associated (or correlated) with Toshiba. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Toshiba has no effect on the direction of Ambev SA i.e., Ambev SA and Toshiba go up and down completely randomly.

Pair Corralation between Ambev SA and Toshiba

Given the investment horizon of 90 days Ambev SA ADR is expected to under-perform the Toshiba. In addition to that, Ambev SA is 1.08 times more volatile than Toshiba. It trades about -0.01 of its total potential returns per unit of risk. Toshiba is currently generating about -0.01 per unit of volatility. If you would invest  3,364  in Toshiba on September 4, 2024 and sell it today you would lose (113.00) from holding Toshiba or give up 3.36% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	30.51%
Values	Daily Returns

Ambev SA ADR  vs.  Toshiba

Ambev SA ADR

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ambev SA ADR has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable technical and fundamental indicators, Ambev SA is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Toshiba

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Toshiba has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable fundamental drivers, Toshiba is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Ambev SA and Toshiba

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

The idea behind Ambev SA ADR and Toshiba 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..