Correlation Between Federal Mogul and Tofas Turk
Can any of the company-specific risk be diversified away by investing in both Federal Mogul and Tofas Turk 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 Federal Mogul and Tofas Turk into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Federal Mogul Izmit and Tofas Turk Otomobil, you can compare the effects of market volatilities on Federal Mogul and Tofas Turk 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 Federal Mogul with a short position of Tofas Turk. Check out your portfolio center. Please also check ongoing floating volatility patterns of Federal Mogul and Tofas Turk.
Diversification Opportunities for Federal Mogul and Tofas Turk
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Federal and Tofas is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Federal Mogul Izmit and Tofas Turk Otomobil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tofas Turk Otomobil and Federal Mogul 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 Federal Mogul Izmit are associated (or correlated) with Tofas Turk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tofas Turk Otomobil has no effect on the direction of Federal Mogul i.e., Federal Mogul and Tofas Turk go up and down completely randomly.
Pair Corralation between Federal Mogul and Tofas Turk
Assuming the 90 days trading horizon Federal Mogul Izmit is expected to generate 0.78 times more return on investment than Tofas Turk. However, Federal Mogul Izmit is 1.29 times less risky than Tofas Turk. It trades about 0.13 of its potential returns per unit of risk. Tofas Turk Otomobil is currently generating about -0.21 per unit of risk. If you would invest 31,200 in Federal Mogul Izmit on September 24, 2024 and sell it today you would earn a total of 1,300 from holding Federal Mogul Izmit or generate 4.17% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Federal Mogul Izmit vs. Tofas Turk Otomobil
Performance |
Timeline |
Federal Mogul Izmit |
Tofas Turk Otomobil |
Federal Mogul and Tofas Turk Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Federal Mogul and Tofas Turk
The main advantage of trading using opposite Federal Mogul and Tofas Turk positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Federal Mogul position performs unexpectedly, Tofas Turk 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 Tofas Turk will offset losses from the drop in Tofas Turk's long position.Federal Mogul vs. Tofas Turk Otomobil | Federal Mogul vs. Hektas Ticaret TAS | Federal Mogul vs. Eregli Demir ve |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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