Correlation Between Treasury Wine and FRASERS PROPERTY

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

By analyzing existing cross correlation between Treasury Wine Estates and FRASERS PROPERTY, you can compare the effects of market volatilities on Treasury Wine and FRASERS PROPERTY 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 Treasury Wine with a short position of FRASERS PROPERTY. Check out your portfolio center. Please also check ongoing floating volatility patterns of Treasury Wine and FRASERS PROPERTY.

Diversification Opportunities for Treasury Wine and FRASERS PROPERTY

-0.64

Correlation Coefficient

Treasury Wine  FRASERS PROPERTY

Excellent diversification

The 3 months correlation between Treasury and FRASERS is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding Treasury Wine Estates and FRASERS PROPERTY in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FRASERS PROPERTY and Treasury Wine 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 Treasury Wine Estates are associated (or correlated) with FRASERS PROPERTY. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FRASERS PROPERTY has no effect on the direction of Treasury Wine i.e., Treasury Wine and FRASERS PROPERTY go up and down completely randomly.

Pair Corralation between Treasury Wine and FRASERS PROPERTY

Assuming the 90 days horizon Treasury Wine Estates is expected to under-perform the FRASERS PROPERTY. In addition to that, Treasury Wine is 1.01 times more volatile than FRASERS PROPERTY. It trades about -0.01 of its total potential returns per unit of risk. FRASERS PROPERTY is currently generating about 0.03 per unit of volatility. If you would invest  57.00  in FRASERS PROPERTY on October 11, 2024 and sell it today you would earn a total of  11.00  from holding FRASERS PROPERTY or generate 19.3% return on investment over 90 days.

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

Treasury Wine Estates  vs.  FRASERS PROPERTY

Treasury Wine Estates

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Treasury Wine Estates has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest fragile performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

FRASERS PROPERTY

Risk-Adjusted Performance

11 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in FRASERS PROPERTY are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, FRASERS PROPERTY reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Treasury Wine and FRASERS PROPERTY

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

The idea behind Treasury Wine Estates and FRASERS PROPERTY 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.