Correlation Between Immobile and Comp SA

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

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

Diversification Opportunities for Immobile and Comp SA

-0.06

Correlation Coefficient

Immobile  Comp SA

Good diversification

The 3 months correlation between Immobile and Comp is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Immobile and Comp SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Comp SA and Immobile 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 Immobile are associated (or correlated) with Comp SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Comp SA has no effect on the direction of Immobile i.e., Immobile and Comp SA go up and down completely randomly.

Pair Corralation between Immobile and Comp SA

Assuming the 90 days trading horizon Immobile is expected to generate 13.23 times less return on investment than Comp SA. In addition to that, Immobile is 1.19 times more volatile than Comp SA. It trades about 0.02 of its total potential returns per unit of risk. Comp SA is currently generating about 0.25 per unit of volatility. If you would invest  10,850  in Comp SA on October 10, 2024 and sell it today you would earn a total of  3,450  from holding Comp SA or generate 31.8% return on investment over 90 days.

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

Immobile  vs.  Comp SA

Immobile

Risk-Adjusted Performance

1 of 100

Weak

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

Comp SA

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Comp SA are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Comp SA reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Immobile and Comp SA

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

The idea behind Immobile and Comp 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 Transaction History module to view history of all your transactions and understand their impact on performance.