Correlation Between Amadeus IT and FUJITSU

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

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

Diversification Opportunities for Amadeus IT and FUJITSU

-0.34

Correlation Coefficient

Amadeus IT  FUJITSU

Very good diversification

The 3 months correlation between Amadeus and FUJITSU is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Amadeus IT Group and FUJITSU LTD ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FUJITSU LTD ADR and Amadeus IT 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 Amadeus IT Group are associated (or correlated) with FUJITSU. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FUJITSU LTD ADR has no effect on the direction of Amadeus IT i.e., Amadeus IT and FUJITSU go up and down completely randomly.

Pair Corralation between Amadeus IT and FUJITSU

Assuming the 90 days trading horizon Amadeus IT is expected to generate 8.8 times less return on investment than FUJITSU. But when comparing it to its historical volatility, Amadeus IT Group is 1.6 times less risky than FUJITSU. It trades about 0.02 of its potential returns per unit of risk. FUJITSU LTD ADR is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  1,680  in FUJITSU LTD ADR on September 23, 2024 and sell it today you would earn a total of  40.00  from holding FUJITSU LTD ADR or generate 2.38% return on investment over 90 days.

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

Amadeus IT Group  vs.  FUJITSU LTD ADR

Amadeus IT Group

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Amadeus IT Group are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Amadeus IT is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

FUJITSU LTD ADR

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Amadeus IT and FUJITSU

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

The idea behind Amadeus IT Group and FUJITSU LTD ADR 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.