Correlation Between ASGN and Fujitsu

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

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

Diversification Opportunities for ASGN and Fujitsu

0.43

Correlation Coefficient

ASGN  Fujitsu

Very weak diversification

The 3 months correlation between ASGN and Fujitsu is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding ASGN Inc 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 ASGN 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 ASGN Inc 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 ASGN i.e., ASGN and Fujitsu go up and down completely randomly.

Pair Corralation between ASGN and Fujitsu

Given the investment horizon of 90 days ASGN Inc is expected to generate 1.19 times more return on investment than Fujitsu. However, ASGN is 1.19 times more volatile than Fujitsu Ltd ADR. It trades about 0.09 of its potential returns per unit of risk. Fujitsu Ltd ADR is currently generating about 0.09 per unit of risk. If you would invest  8,574  in ASGN Inc on September 17, 2024 and sell it today you would earn a total of  228.00  from holding ASGN Inc or generate 2.66% return on investment over 90 days.

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

ASGN Inc  vs.  Fujitsu Ltd ADR

ASGN Inc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ASGN Inc has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy technical and fundamental indicators, ASGN is not utilizing all of its potentials. The newest stock price disarray, may contribute to short-term losses for the investors.

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. In spite of latest unsteady performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Pair Trading with ASGN and Fujitsu

The main advantage of trading using opposite ASGN and Fujitsu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASGN 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 ASGN Inc 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.