Correlation Between Asseco Poland and Pepco Group
Can any of the company-specific risk be diversified away by investing in both Asseco Poland and Pepco Group 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 Asseco Poland and Pepco Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Asseco Poland SA and Pepco Group BV, you can compare the effects of market volatilities on Asseco Poland and Pepco Group 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 Asseco Poland with a short position of Pepco Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of Asseco Poland and Pepco Group.
Diversification Opportunities for Asseco Poland and Pepco Group
-0.38 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Asseco and Pepco is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Asseco Poland SA and Pepco Group BV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pepco Group BV and Asseco Poland 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 Asseco Poland SA are associated (or correlated) with Pepco Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pepco Group BV has no effect on the direction of Asseco Poland i.e., Asseco Poland and Pepco Group go up and down completely randomly.
Pair Corralation between Asseco Poland and Pepco Group
Assuming the 90 days trading horizon Asseco Poland SA is expected to generate 0.66 times more return on investment than Pepco Group. However, Asseco Poland SA is 1.51 times less risky than Pepco Group. It trades about 0.12 of its potential returns per unit of risk. Pepco Group BV is currently generating about -0.15 per unit of risk. If you would invest 8,690 in Asseco Poland SA on September 30, 2024 and sell it today you would earn a total of 940.00 from holding Asseco Poland SA or generate 10.82% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Asseco Poland SA vs. Pepco Group BV
Performance |
Timeline |
Asseco Poland SA |
Pepco Group BV |
Asseco Poland and Pepco Group Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Asseco Poland and Pepco Group
The main advantage of trading using opposite Asseco Poland and Pepco Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Asseco Poland position performs unexpectedly, Pepco Group 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 Pepco Group will offset losses from the drop in Pepco Group's long position.Asseco Poland vs. Asseco Business Solutions | Asseco Poland vs. LSI Software SA | Asseco Poland vs. Quantum Software SA |
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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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