Correlation Between San Miguel and Lepanto Consolidated

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

By analyzing existing cross correlation between San Miguel Corp and Lepanto Consolidated Mining, you can compare the effects of market volatilities on San Miguel and Lepanto Consolidated 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 San Miguel with a short position of Lepanto Consolidated. Check out your portfolio center. Please also check ongoing floating volatility patterns of San Miguel and Lepanto Consolidated.

Diversification Opportunities for San Miguel and Lepanto Consolidated

-0.55

Correlation Coefficient

San Miguel  Lepanto Consolidated

Excellent diversification

The 3 months correlation between San and Lepanto is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding San Miguel Corp and Lepanto Consolidated Mining in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lepanto Consolidated and San Miguel 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 San Miguel Corp are associated (or correlated) with Lepanto Consolidated. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lepanto Consolidated has no effect on the direction of San Miguel i.e., San Miguel and Lepanto Consolidated go up and down completely randomly.

Pair Corralation between San Miguel and Lepanto Consolidated

Assuming the 90 days trading horizon San Miguel Corp is expected to generate 0.25 times more return on investment than Lepanto Consolidated. However, San Miguel Corp is 4.05 times less risky than Lepanto Consolidated. It trades about 0.09 of its potential returns per unit of risk. Lepanto Consolidated Mining is currently generating about -0.06 per unit of risk. If you would invest  6,945  in San Miguel Corp on October 10, 2024 and sell it today you would earn a total of  305.00  from holding San Miguel Corp or generate 4.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	89.66%
Values	Daily Returns

San Miguel Corp  vs.  Lepanto Consolidated Mining

San Miguel Corp

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in San Miguel Corp are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable fundamental indicators, San Miguel is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Lepanto Consolidated

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Lepanto Consolidated Mining has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's basic indicators remain rather sound which may send shares a bit higher in February 2025. The latest tumult may also be a sign of longer-term up-swing for the firm shareholders.

Pair Trading with San Miguel and Lepanto Consolidated

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

The idea behind San Miguel Corp and Lepanto Consolidated Mining 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.