Correlation Between Iproeb SA and TRANSILVANIA LEASING

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

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

Diversification Opportunities for Iproeb SA and TRANSILVANIA LEASING

0.7

Correlation Coefficient

Iproeb SA  TRANSILVANIA LEASING

Poor diversification

The 3 months correlation between Iproeb and TRANSILVANIA is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Iproeb SA and TRANSILVANIA LEASING SI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TRANSILVANIA LEASING and Iproeb SA 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 Iproeb SA are associated (or correlated) with TRANSILVANIA LEASING. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TRANSILVANIA LEASING has no effect on the direction of Iproeb SA i.e., Iproeb SA and TRANSILVANIA LEASING go up and down completely randomly.

Pair Corralation between Iproeb SA and TRANSILVANIA LEASING

Assuming the 90 days trading horizon Iproeb SA is expected to under-perform the TRANSILVANIA LEASING. But the stock apears to be less risky and, when comparing its historical volatility, Iproeb SA is 1.05 times less risky than TRANSILVANIA LEASING. The stock trades about -0.19 of its potential returns per unit of risk. The TRANSILVANIA LEASING SI is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  8.30  in TRANSILVANIA LEASING SI on September 26, 2024 and sell it today you would earn a total of  0.25  from holding TRANSILVANIA LEASING SI or generate 3.01% return on investment over 90 days.

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

Iproeb SA  vs.  TRANSILVANIA LEASING SI

Iproeb SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Iproeb SA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unfluctuating performance in the last few months, the Stock's basic indicators remain very healthy which may send shares a bit higher in January 2025. The recent disarray may also be a sign of long period up-swing for the firm investors.

TRANSILVANIA LEASING

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days TRANSILVANIA LEASING SI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest unfluctuating performance, the Stock's basic indicators remain healthy and the recent disarray on Wall Street may also be a sign of long period gains for the firm investors.

Pair Trading with Iproeb SA and TRANSILVANIA LEASING

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

The idea behind Iproeb SA and TRANSILVANIA LEASING SI 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.