Correlation Between Glory Star and CyberAgent ADR

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

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

Diversification Opportunities for Glory Star and CyberAgent ADR

0.62

Correlation Coefficient

Glory Star  CyberAgent ADR

Poor diversification

The 3 months correlation between Glory and CyberAgent is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Glory Star New and CyberAgent ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CyberAgent ADR and Glory Star 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 Glory Star New are associated (or correlated) with CyberAgent ADR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CyberAgent ADR has no effect on the direction of Glory Star i.e., Glory Star and CyberAgent ADR go up and down completely randomly.

Pair Corralation between Glory Star and CyberAgent ADR

Assuming the 90 days horizon Glory Star New is expected to generate 16.41 times more return on investment than CyberAgent ADR. However, Glory Star is 16.41 times more volatile than CyberAgent ADR. It trades about 0.01 of its potential returns per unit of risk. CyberAgent ADR is currently generating about -0.14 per unit of risk. If you would invest  0.20  in Glory Star New on October 7, 2024 and sell it today you would lose (0.10) from holding Glory Star New or give up 50.0% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	71.43%
Values	Daily Returns

Glory Star New  vs.  CyberAgent ADR

Glory Star New

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Glory Star New has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly fragile technical and fundamental indicators, Glory Star may actually be approaching a critical reversion point that can send shares even higher in February 2025.

CyberAgent ADR

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CyberAgent ADR has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest fragile performance, the Stock's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Pair Trading with Glory Star and CyberAgent ADR

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

The idea behind Glory Star New and CyberAgent ADR 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.