Correlation Between Indra Sistemas and Fujitsu

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

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

Diversification Opportunities for Indra Sistemas and Fujitsu

0.54

Correlation Coefficient

Indra Sistemas  Fujitsu

Very weak diversification

The 3 months correlation between Indra and Fujitsu is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Indra Sistemas SA and Fujitsu Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fujitsu Limited and Indra Sistemas 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 Indra Sistemas SA are associated (or correlated) with Fujitsu. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fujitsu Limited has no effect on the direction of Indra Sistemas i.e., Indra Sistemas and Fujitsu go up and down completely randomly.

Pair Corralation between Indra Sistemas and Fujitsu

Assuming the 90 days horizon Indra Sistemas SA is expected to under-perform the Fujitsu. But the pink sheet apears to be less risky and, when comparing its historical volatility, Indra Sistemas SA is 13.24 times less risky than Fujitsu. The pink sheet trades about -0.22 of its potential returns per unit of risk. The Fujitsu Limited is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  2,009  in Fujitsu Limited on September 26, 2024 and sell it today you would lose (429.00) from holding Fujitsu Limited or give up 21.35% of portfolio value over 90 days.

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

Indra Sistemas SA  vs.  Fujitsu Limited

Indra Sistemas SA

Risk-Adjusted Performance

0 of 100

Very Weak

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

Fujitsu Limited

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fujitsu Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Fujitsu is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Indra Sistemas and Fujitsu

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

The idea behind Indra Sistemas SA and Fujitsu Limited 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.