Correlation Between Moncler SpA and Ralph Lauren

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

By analyzing existing cross correlation between Moncler SpA and Ralph Lauren, you can compare the effects of market volatilities on Moncler SpA and Ralph Lauren 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 Moncler SpA with a short position of Ralph Lauren. Check out your portfolio center. Please also check ongoing floating volatility patterns of Moncler SpA and Ralph Lauren.

Diversification Opportunities for Moncler SpA and Ralph Lauren

0.47

Correlation Coefficient

Moncler SpA  Ralph Lauren

Very weak diversification

The 3 months correlation between Moncler and Ralph is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Moncler SpA and Ralph Lauren in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ralph Lauren and Moncler SpA 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 Moncler SpA are associated (or correlated) with Ralph Lauren. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ralph Lauren has no effect on the direction of Moncler SpA i.e., Moncler SpA and Ralph Lauren go up and down completely randomly.

Pair Corralation between Moncler SpA and Ralph Lauren

Assuming the 90 days horizon Moncler SpA is expected to generate 0.58 times more return on investment than Ralph Lauren. However, Moncler SpA is 1.71 times less risky than Ralph Lauren. It trades about 0.12 of its potential returns per unit of risk. Ralph Lauren is currently generating about -0.01 per unit of risk. If you would invest  5,100  in Moncler SpA on December 29, 2024 and sell it today you would earn a total of  762.00  from holding Moncler SpA or generate 14.94% return on investment over 90 days.

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

Moncler SpA  vs.  Ralph Lauren

Moncler SpA

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Moncler SpA are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, Moncler SpA reported solid returns over the last few months and may actually be approaching a breakup point.

Ralph Lauren

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Moncler SpA and Ralph Lauren

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

The idea behind Moncler SpA and Ralph Lauren 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 Transaction History module to view history of all your transactions and understand their impact on performance.