Correlation Between Asseco South and CFI Holding

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

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

Diversification Opportunities for Asseco South and CFI Holding

0.31

Correlation Coefficient

Asseco South  CFI Holding

Weak diversification

The 3 months correlation between Asseco and CFI is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Asseco South Eastern and CFI Holding SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CFI Holding SA and Asseco South 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 South Eastern are associated (or correlated) with CFI Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CFI Holding SA has no effect on the direction of Asseco South i.e., Asseco South and CFI Holding go up and down completely randomly.

Pair Corralation between Asseco South and CFI Holding

Assuming the 90 days trading horizon Asseco South Eastern is expected to generate 0.2 times more return on investment than CFI Holding. However, Asseco South Eastern is 5.0 times less risky than CFI Holding. It trades about -0.1 of its potential returns per unit of risk. CFI Holding SA is currently generating about -0.08 per unit of risk. If you would invest  5,020  in Asseco South Eastern on September 2, 2024 and sell it today you would lose (150.00) from holding Asseco South Eastern or give up 2.99% of portfolio value over 90 days.

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

Asseco South Eastern  vs.  CFI Holding SA

Asseco South Eastern

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Asseco South Eastern has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable basic indicators, Asseco South is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

CFI Holding SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CFI Holding SA has generated negative risk-adjusted returns adding no value to investors with long positions. Even with weak performance in the last few months, the Stock's basic indicators remain relatively invariable which may send shares a bit higher in January 2025. The latest agitation may also be a sign of long-running up-swing for the enterprise retail investors.

Pair Trading with Asseco South and CFI Holding

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

The idea behind Asseco South Eastern and CFI Holding SA 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.