Correlation Between Ayala Land and SM Investments
Can any of the company-specific risk be diversified away by investing in both Ayala Land and SM Investments 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 Ayala Land and SM Investments into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ayala Land and SM Investments Corp, you can compare the effects of market volatilities on Ayala Land and SM Investments 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 Ayala Land with a short position of SM Investments. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ayala Land and SM Investments.
Diversification Opportunities for Ayala Land and SM Investments
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Ayala and SM Investments is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Ayala Land and SM Investments Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SM Investments Corp and Ayala Land 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 Ayala Land are associated (or correlated) with SM Investments. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SM Investments Corp has no effect on the direction of Ayala Land i.e., Ayala Land and SM Investments go up and down completely randomly.
Pair Corralation between Ayala Land and SM Investments
Assuming the 90 days trading horizon Ayala Land is expected to under-perform the SM Investments. In addition to that, Ayala Land is 1.05 times more volatile than SM Investments Corp. It trades about -0.25 of its total potential returns per unit of risk. SM Investments Corp is currently generating about -0.07 per unit of volatility. If you would invest 99,500 in SM Investments Corp on September 26, 2024 and sell it today you would lose (9,500) from holding SM Investments Corp or give up 9.55% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Ayala Land vs. SM Investments Corp
Performance |
Timeline |
Ayala Land |
SM Investments Corp |
Ayala Land and SM Investments Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Ayala Land and SM Investments
The main advantage of trading using opposite Ayala Land and SM Investments positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ayala Land position performs unexpectedly, SM Investments 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 SM Investments will offset losses from the drop in SM Investments' long position.Ayala Land vs. Filinvest Development Coproration | Ayala Land vs. DoubleDragon Properties Corp | Ayala Land vs. 8990 Holdings | Ayala Land vs. Vista Land and |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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