Correlation Between Expat Serbia and Expat Romania

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

By analyzing existing cross correlation between Expat Serbia Belex15 and Expat Romania BET, you can compare the effects of market volatilities on Expat Serbia and Expat Romania 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 Expat Serbia with a short position of Expat Romania. Check out your portfolio center. Please also check ongoing floating volatility patterns of Expat Serbia and Expat Romania.

Diversification Opportunities for Expat Serbia and Expat Romania

0.62

Correlation Coefficient

Expat Serbia  Expat Romania

Poor diversification

The 3 months correlation between Expat and Expat is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Expat Serbia Belex15 and Expat Romania BET in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Expat Romania BET and Expat Serbia 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 Expat Serbia Belex15 are associated (or correlated) with Expat Romania. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Expat Romania BET has no effect on the direction of Expat Serbia i.e., Expat Serbia and Expat Romania go up and down completely randomly.

Pair Corralation between Expat Serbia and Expat Romania

Assuming the 90 days trading horizon Expat Serbia Belex15 is expected to under-perform the Expat Romania. In addition to that, Expat Serbia is 1.49 times more volatile than Expat Romania BET. It trades about -0.03 of its total potential returns per unit of risk. Expat Romania BET is currently generating about -0.04 per unit of volatility. If you would invest  217.00  in Expat Romania BET on September 12, 2024 and sell it today you would lose (6.00) from holding Expat Romania BET or give up 2.76% of portfolio value over 90 days.

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

Expat Serbia Belex15  vs.  Expat Romania BET

Expat Serbia Belex15

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Expat Serbia Belex15 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Expat Serbia is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Expat Romania BET

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Expat Romania BET has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Expat Romania is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Expat Serbia and Expat Romania

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

The idea behind Expat Serbia Belex15 and Expat Romania BET 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.

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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.