Correlation Between Comp SA and Asseco Business

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

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

Diversification Opportunities for Comp SA and Asseco Business

0.3

Correlation Coefficient

Comp SA  Asseco Business

Weak diversification

The 3 months correlation between Comp and Asseco is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Comp SA and Asseco Business Solutions in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Asseco Business Solutions and Comp SA 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 Comp SA are associated (or correlated) with Asseco Business. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Asseco Business Solutions has no effect on the direction of Comp SA i.e., Comp SA and Asseco Business go up and down completely randomly.

Pair Corralation between Comp SA and Asseco Business

Assuming the 90 days trading horizon Comp SA is expected to generate 0.9 times more return on investment than Asseco Business. However, Comp SA is 1.11 times less risky than Asseco Business. It trades about 0.24 of its potential returns per unit of risk. Asseco Business Solutions is currently generating about -0.34 per unit of risk. If you would invest  11,200  in Comp SA on September 2, 2024 and sell it today you would earn a total of  650.00  from holding Comp SA or generate 5.8% return on investment over 90 days.

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

Comp SA  vs.  Asseco Business Solutions

Comp SA

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Comp SA are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Comp SA is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Asseco Business Solutions

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Asseco Business Solutions has generated negative risk-adjusted returns adding no value to investors with long positions. Even with weak performance in the last few months, the Stock's basic indicators remain relatively invariable which may send shares a bit higher in January 2025. The latest agitation may also be a sign of long-running up-swing for the enterprise retail investors.

Pair Trading with Comp SA and Asseco Business

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

The idea behind Comp SA and Asseco Business Solutions 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.