Correlation Between SSIAM VNFIN and Construction JSC

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

By analyzing existing cross correlation between SSIAM VNFIN LEAD and Construction JSC No5, you can compare the effects of market volatilities on SSIAM VNFIN and Construction JSC 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 SSIAM VNFIN with a short position of Construction JSC. Check out your portfolio center. Please also check ongoing floating volatility patterns of SSIAM VNFIN and Construction JSC.

Diversification Opportunities for SSIAM VNFIN and Construction JSC

-0.47

Correlation Coefficient

SSIAM VNFIN  Construction JSC

Very good diversification

The 3 months correlation between SSIAM and Construction is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding SSIAM VNFIN LEAD and Construction JSC No5 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Construction JSC No5 and SSIAM VNFIN 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 SSIAM VNFIN LEAD are associated (or correlated) with Construction JSC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Construction JSC No5 has no effect on the direction of SSIAM VNFIN i.e., SSIAM VNFIN and Construction JSC go up and down completely randomly.

Pair Corralation between SSIAM VNFIN and Construction JSC

Assuming the 90 days trading horizon SSIAM VNFIN is expected to generate 6.05 times less return on investment than Construction JSC. But when comparing it to its historical volatility, SSIAM VNFIN LEAD is 3.78 times less risky than Construction JSC. It trades about 0.05 of its potential returns per unit of risk. Construction JSC No5 is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  1,905,000  in Construction JSC No5 on September 12, 2024 and sell it today you would earn a total of  95,000  from holding Construction JSC No5 or generate 4.99% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	72.73%
Values	Daily Returns

SSIAM VNFIN LEAD  vs.  Construction JSC No5

SSIAM VNFIN LEAD

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in SSIAM VNFIN LEAD are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, SSIAM VNFIN is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

Construction JSC No5

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Construction JSC No5 are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Construction JSC displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with SSIAM VNFIN and Construction JSC

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

The idea behind SSIAM VNFIN LEAD and Construction JSC No5 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.