Correlation Between JSC Halyk and Sun Art
Can any of the company-specific risk be diversified away by investing in both JSC Halyk and Sun Art 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 JSC Halyk and Sun Art into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JSC Halyk bank and Sun Art Retail, you can compare the effects of market volatilities on JSC Halyk and Sun Art 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 JSC Halyk with a short position of Sun Art. Check out your portfolio center. Please also check ongoing floating volatility patterns of JSC Halyk and Sun Art.
Diversification Opportunities for JSC Halyk and Sun Art
Poor diversification
The 3 months correlation between JSC and Sun is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding JSC Halyk bank and Sun Art Retail in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sun Art Retail and JSC Halyk 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 JSC Halyk bank are associated (or correlated) with Sun Art. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sun Art Retail has no effect on the direction of JSC Halyk i.e., JSC Halyk and Sun Art go up and down completely randomly.
Pair Corralation between JSC Halyk and Sun Art
Assuming the 90 days trading horizon JSC Halyk bank is expected to under-perform the Sun Art. But the stock apears to be less risky and, when comparing its historical volatility, JSC Halyk bank is 1.09 times less risky than Sun Art. The stock trades about -0.04 of its potential returns per unit of risk. The Sun Art Retail is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 24.00 in Sun Art Retail on September 25, 2024 and sell it today you would earn a total of 7.00 from holding Sun Art Retail or generate 29.17% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
JSC Halyk bank vs. Sun Art Retail
Performance |
Timeline |
JSC Halyk bank |
Sun Art Retail |
JSC Halyk and Sun Art Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with JSC Halyk and Sun Art
The main advantage of trading using opposite JSC Halyk and Sun Art positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JSC Halyk position performs unexpectedly, Sun Art 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 Sun Art will offset losses from the drop in Sun Art's long position.JSC Halyk vs. China Merchants Bank | JSC Halyk vs. HDFC Bank Limited | JSC Halyk vs. ICICI Bank Limited | JSC Halyk vs. PT Bank Central |
Sun Art vs. Webster Financial | Sun Art vs. VIRG NATL BANKSH | Sun Art vs. Transport International Holdings | Sun Art vs. JSC Halyk bank |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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