Correlation Between Fillamentum and Cez AS

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

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

Diversification Opportunities for Fillamentum and Cez AS

0.84

Correlation Coefficient

Fillamentum  Cez AS

Very poor diversification

The 3 months correlation between Fillamentum and Cez is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Fillamentum as and Cez AS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cez AS and Fillamentum 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 Fillamentum as are associated (or correlated) with Cez AS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cez AS has no effect on the direction of Fillamentum i.e., Fillamentum and Cez AS go up and down completely randomly.

Pair Corralation between Fillamentum and Cez AS

Assuming the 90 days trading horizon Fillamentum is expected to generate 3.3 times less return on investment than Cez AS. But when comparing it to its historical volatility, Fillamentum as is 2.09 times less risky than Cez AS. It trades about 0.13 of its potential returns per unit of risk. Cez AS is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  86,500  in Cez AS on September 2, 2024 and sell it today you would earn a total of  9,650  from holding Cez AS or generate 11.16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.46%
Values	Daily Returns

Fillamentum as  vs.  Cez AS

Fillamentum as

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Fillamentum as are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Fillamentum is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Cez AS

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Cez AS are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Cez AS may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Fillamentum and Cez AS

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

The idea behind Fillamentum as and Cez AS 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .