Correlation Between Brunel International and Ctac NV

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

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

Diversification Opportunities for Brunel International and Ctac NV

0.23

Correlation Coefficient

Brunel International  Ctac NV

Modest diversification

The 3 months correlation between Brunel and Ctac is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Brunel International NV and Ctac NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ctac NV and Brunel International 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 Brunel International NV are associated (or correlated) with Ctac NV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ctac NV has no effect on the direction of Brunel International i.e., Brunel International and Ctac NV go up and down completely randomly.

Pair Corralation between Brunel International and Ctac NV

Assuming the 90 days trading horizon Brunel International NV is expected to generate 1.24 times more return on investment than Ctac NV. However, Brunel International is 1.24 times more volatile than Ctac NV. It trades about 0.26 of its potential returns per unit of risk. Ctac NV is currently generating about -0.12 per unit of risk. If you would invest  928.00  in Brunel International NV on November 28, 2024 and sell it today you would earn a total of  112.00  from holding Brunel International NV or generate 12.07% return on investment over 90 days.

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

Brunel International NV  vs.  Ctac NV

Brunel International

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Brunel International NV are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Brunel International unveiled solid returns over the last few months and may actually be approaching a breakup point.

Ctac NV

Risk-Adjusted Performance

Very Weak

Over the last 90 days Ctac NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Ctac NV is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Brunel International and Ctac NV

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

The idea behind Brunel International NV and Ctac NV 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.

Check out your portfolio center.

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.