Correlation Between Advantest and SCREEN Holdings

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

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

Diversification Opportunities for Advantest and SCREEN Holdings

0.45

Correlation Coefficient

Advantest  SCREEN Holdings

Very weak diversification

The 3 months correlation between Advantest and SCREEN is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Advantest and SCREEN Holdings Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCREEN Holdings and Advantest 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 Advantest are associated (or correlated) with SCREEN Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCREEN Holdings has no effect on the direction of Advantest i.e., Advantest and SCREEN Holdings go up and down completely randomly.

Pair Corralation between Advantest and SCREEN Holdings

Assuming the 90 days horizon Advantest is expected to under-perform the SCREEN Holdings. But the pink sheet apears to be less risky and, when comparing its historical volatility, Advantest is 1.97 times less risky than SCREEN Holdings. The pink sheet trades about -0.04 of its potential returns per unit of risk. The SCREEN Holdings Co is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  6,400  in SCREEN Holdings Co on December 5, 2024 and sell it today you would earn a total of  1,650  from holding SCREEN Holdings Co or generate 25.78% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	20.34%
Values	Daily Returns

Advantest  vs.  SCREEN Holdings Co

Advantest

Risk-Adjusted Performance

Very Weak

Over the last 90 days Advantest 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.

SCREEN Holdings

Risk-Adjusted Performance

Solid

Over the last 90 days SCREEN Holdings Co has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly weak basic indicators, SCREEN Holdings reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Advantest and SCREEN Holdings

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

The idea behind Advantest and SCREEN Holdings Co 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.