Correlation Between CEZ As and Kruk SA

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

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

Diversification Opportunities for CEZ As and Kruk SA

-0.18

Correlation Coefficient

CEZ As  Kruk SA

Good diversification

The 3 months correlation between CEZ and Kruk is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding CEZ as and Kruk SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kruk SA and CEZ As 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 CEZ as are associated (or correlated) with Kruk SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kruk SA has no effect on the direction of CEZ As i.e., CEZ As and Kruk SA go up and down completely randomly.

Pair Corralation between CEZ As and Kruk SA

Assuming the 90 days trading horizon CEZ as is expected to generate 1.6 times more return on investment than Kruk SA. However, CEZ As is 1.6 times more volatile than Kruk SA. It trades about 0.08 of its potential returns per unit of risk. Kruk SA is currently generating about 0.0 per unit of risk. If you would invest  15,600  in CEZ as on October 24, 2024 and sell it today you would earn a total of  1,380  from holding CEZ as or generate 8.85% return on investment over 90 days.

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

CEZ as  vs.  Kruk SA

CEZ as

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in CEZ as are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, CEZ As may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Kruk SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Kruk SA has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable basic indicators, Kruk SA is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with CEZ As and Kruk SA

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

The idea behind CEZ as and Kruk 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.