Correlation Between GT Capital and First Philippine

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

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

Diversification Opportunities for GT Capital and First Philippine

0.59

Correlation Coefficient

GT Capital  First Philippine

Very weak diversification

The 3 months correlation between GTCAP and First is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding GT Capital Holdings and First Philippine Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Philippine Holdings and GT Capital 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 GT Capital Holdings are associated (or correlated) with First Philippine. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Philippine Holdings has no effect on the direction of GT Capital i.e., GT Capital and First Philippine go up and down completely randomly.

Pair Corralation between GT Capital and First Philippine

Assuming the 90 days trading horizon GT Capital Holdings is expected to under-perform the First Philippine. In addition to that, GT Capital is 2.06 times more volatile than First Philippine Holdings. It trades about -0.17 of its total potential returns per unit of risk. First Philippine Holdings is currently generating about -0.06 per unit of volatility. If you would invest  6,000  in First Philippine Holdings on December 30, 2024 and sell it today you would lose (280.00) from holding First Philippine Holdings or give up 4.67% of portfolio value over 90 days.

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

GT Capital Holdings  vs.  First Philippine Holdings

GT Capital Holdings

Risk-Adjusted Performance

Very Weak

Over the last 90 days GT Capital Holdings has generated negative risk-adjusted returns adding no value to investors with long positions. Even with unsteady performance in the last few months, the Stock's fundamental indicators remain relatively invariable which may send shares a bit higher in April 2025. The latest agitation may also be a sign of long-running up-swing for the enterprise retail investors.

First Philippine Holdings

Risk-Adjusted Performance

Very Weak

Over the last 90 days First Philippine Holdings has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound technical and fundamental indicators, First Philippine is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with GT Capital and First Philippine

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

The idea behind GT Capital Holdings and First Philippine Holdings 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.