Correlation Between Hurum and SAMG Entertainment

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

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

Diversification Opportunities for Hurum and SAMG Entertainment

0.48

Correlation Coefficient

Hurum  SAMG Entertainment

Very weak diversification

The 3 months correlation between Hurum and SAMG is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Hurum Co and SAMG Entertainment Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAMG Entertainment and Hurum 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 Hurum Co are associated (or correlated) with SAMG Entertainment. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAMG Entertainment has no effect on the direction of Hurum i.e., Hurum and SAMG Entertainment go up and down completely randomly.

Pair Corralation between Hurum and SAMG Entertainment

Assuming the 90 days trading horizon Hurum Co is expected to generate 0.49 times more return on investment than SAMG Entertainment. However, Hurum Co is 2.06 times less risky than SAMG Entertainment. It trades about -0.13 of its potential returns per unit of risk. SAMG Entertainment Co is currently generating about -0.11 per unit of risk. If you would invest  80,200  in Hurum Co on September 12, 2024 and sell it today you would lose (12,900) from holding Hurum Co or give up 16.08% of portfolio value over 90 days.

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

Hurum Co  vs.  SAMG Entertainment Co

Hurum

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Hurum Co has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain somewhat 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.

SAMG Entertainment

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SAMG Entertainment Co has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain somewhat 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.

Pair Trading with Hurum and SAMG Entertainment

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

The idea behind Hurum Co and SAMG Entertainment Co 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.