Correlation Between De Rucci and SAIC
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By analyzing existing cross correlation between De Rucci Healthy and SAIC Motor Corp, you can compare the effects of market volatilities on De Rucci and SAIC 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 De Rucci with a short position of SAIC. Check out your portfolio center. Please also check ongoing floating volatility patterns of De Rucci and SAIC.
Diversification Opportunities for De Rucci and SAIC
Poor diversification
The 3 months correlation between 001323 and SAIC is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding De Rucci Healthy and SAIC Motor Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAIC Motor Corp and De Rucci 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 De Rucci Healthy are associated (or correlated) with SAIC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAIC Motor Corp has no effect on the direction of De Rucci i.e., De Rucci and SAIC go up and down completely randomly.
Pair Corralation between De Rucci and SAIC
Assuming the 90 days trading horizon De Rucci is expected to generate 1.61 times less return on investment than SAIC. But when comparing it to its historical volatility, De Rucci Healthy is 1.45 times less risky than SAIC. It trades about 0.17 of its potential returns per unit of risk. SAIC Motor Corp is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 1,223 in SAIC Motor Corp on September 24, 2024 and sell it today you would earn a total of 596.00 from holding SAIC Motor Corp or generate 48.73% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
De Rucci Healthy vs. SAIC Motor Corp
Performance |
Timeline |
De Rucci Healthy |
SAIC Motor Corp |
De Rucci and SAIC Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with De Rucci and SAIC
The main advantage of trading using opposite De Rucci and SAIC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if De Rucci position performs unexpectedly, SAIC 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 SAIC will offset losses from the drop in SAIC's long position.De Rucci vs. Agricultural Bank of | De Rucci vs. Industrial and Commercial | De Rucci vs. Bank of China | De Rucci vs. China Construction Bank |
Check out your portfolio center.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.
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