Correlation Between Nomura Research and Fujitsu

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

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

Diversification Opportunities for Nomura Research and Fujitsu

0.75

Correlation Coefficient

Nomura Research  Fujitsu

Poor diversification

The 3 months correlation between Nomura and Fujitsu is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Nomura Research Institute and Fujitsu Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fujitsu Limited and Nomura Research 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 Nomura Research Institute 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 Nomura Research i.e., Nomura Research and Fujitsu go up and down completely randomly.

Pair Corralation between Nomura Research and Fujitsu

Assuming the 90 days horizon Nomura Research is expected to generate 3.55 times less return on investment than Fujitsu. But when comparing it to its historical volatility, Nomura Research Institute is 2.96 times less risky than Fujitsu. It trades about 0.04 of its potential returns per unit of risk. Fujitsu Limited is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  1,153  in Fujitsu Limited on September 26, 2024 and sell it today you would earn a total of  427.00  from holding Fujitsu Limited or generate 37.03% return on investment over 90 days.

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

Nomura Research Institute  vs.  Fujitsu Limited

Nomura Research Institute

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nomura Research Institute has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fragile performance in the last few months, the Stock's essential indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing 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 Nomura Research and Fujitsu

The main advantage of trading using opposite Nomura Research and Fujitsu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nomura Research 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 Nomura Research Institute 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.