Correlation Between VHAI and OneSpan

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

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

Diversification Opportunities for VHAI and OneSpan

-0.02

Correlation Coefficient

VHAI  OneSpan

Good diversification

The 3 months correlation between VHAI and OneSpan is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding VHAI and OneSpan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on OneSpan and VHAI 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 VHAI are associated (or correlated) with OneSpan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OneSpan has no effect on the direction of VHAI i.e., VHAI and OneSpan go up and down completely randomly.

Pair Corralation between VHAI and OneSpan

Given the investment horizon of 90 days VHAI is expected to generate 3.86 times more return on investment than OneSpan. However, VHAI is 3.86 times more volatile than OneSpan. It trades about 0.06 of its potential returns per unit of risk. OneSpan is currently generating about 0.12 per unit of risk. If you would invest  0.55  in VHAI on October 9, 2024 and sell it today you would earn a total of  0.02  from holding VHAI or generate 3.64% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	60.66%
Values	Daily Returns

VHAI  vs.  OneSpan

VHAI

Risk-Adjusted Performance

0 of 100

Modest

Over the last 90 days VHAI has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fairly uncertain basic indicators, VHAI demonstrated solid returns over the last few months and may actually be approaching a breakup point.

OneSpan

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in OneSpan are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of very conflicting basic indicators, OneSpan displayed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with VHAI and OneSpan

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

The idea behind VHAI and OneSpan 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.