Correlation Between C1MI34 and Recrusul

Can any of the company-specific risk be diversified away by investing in both C1MI34 and Recrusul 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 C1MI34 and Recrusul into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between C1MI34 and Recrusul SA, you can compare the effects of market volatilities on C1MI34 and Recrusul 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 C1MI34 with a short position of Recrusul. Check out your portfolio center. Please also check ongoing floating volatility patterns of C1MI34 and Recrusul.

Diversification Opportunities for C1MI34 and Recrusul

0.17

Correlation Coefficient

C1MI34  Recrusul

Average diversification

The 3 months correlation between C1MI34 and Recrusul is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding C1MI34 and Recrusul SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Recrusul SA and C1MI34 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 C1MI34 are associated (or correlated) with Recrusul. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Recrusul SA has no effect on the direction of C1MI34 i.e., C1MI34 and Recrusul go up and down completely randomly.

Pair Corralation between C1MI34 and Recrusul

Assuming the 90 days trading horizon C1MI34 is expected to generate 0.32 times more return on investment than Recrusul. However, C1MI34 is 3.1 times less risky than Recrusul. It trades about 0.14 of its potential returns per unit of risk. Recrusul SA is currently generating about 0.0 per unit of risk. If you would invest  28,323  in C1MI34 on September 25, 2024 and sell it today you would earn a total of  27,027  from holding C1MI34 or generate 95.42% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	99.6%
Values	Daily Returns

C1MI34  vs.  Recrusul SA

C1MI34

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in C1MI34 are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak primary indicators, C1MI34 sustained solid returns over the last few months and may actually be approaching a breakup point.

Recrusul SA

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Recrusul SA are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Recrusul may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with C1MI34 and Recrusul

The main advantage of trading using opposite C1MI34 and Recrusul positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if C1MI34 position performs unexpectedly, Recrusul 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 Recrusul will offset losses from the drop in Recrusul's long position.

The idea behind C1MI34 and Recrusul SA 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.