Correlation Between Fujitsu and NTT Data

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

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

Diversification Opportunities for Fujitsu and NTT Data

-0.49

Correlation Coefficient

Fujitsu  NTT Data

Very good diversification

The 3 months correlation between Fujitsu and NTT is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Fujitsu Ltd ADR and NTT Data Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NTT Data Corp and Fujitsu 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 Fujitsu Ltd ADR are associated (or correlated) with NTT Data. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NTT Data Corp has no effect on the direction of Fujitsu i.e., Fujitsu and NTT Data go up and down completely randomly.

Pair Corralation between Fujitsu and NTT Data

Assuming the 90 days horizon Fujitsu Ltd ADR is expected to under-perform the NTT Data. In addition to that, Fujitsu is 2.06 times more volatile than NTT Data Corp. It trades about -0.12 of its total potential returns per unit of risk. NTT Data Corp is currently generating about -0.16 per unit of volatility. If you would invest  1,926  in NTT Data Corp on October 22, 2024 and sell it today you would lose (44.00) from holding NTT Data Corp or give up 2.28% of portfolio value over 90 days.

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

Fujitsu Ltd ADR  vs.  NTT Data Corp

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 fragile performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

NTT Data Corp

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in NTT Data Corp are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating basic indicators, NTT Data showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Fujitsu and NTT Data

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

The idea behind Fujitsu Ltd ADR and NTT Data Corp 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.