Correlation Between Frasers Property and Dow Jones
Can any of the company-specific risk be diversified away by investing in both Frasers Property and Dow Jones 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 Frasers Property and Dow Jones into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frasers Property Public and Dow Jones Industrial, you can compare the effects of market volatilities on Frasers Property and Dow Jones 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 Frasers Property with a short position of Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frasers Property and Dow Jones.
Diversification Opportunities for Frasers Property and Dow Jones
-0.51 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Frasers and Dow is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Frasers Property Public and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial and Frasers Property 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 Frasers Property Public are associated (or correlated) with Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of Frasers Property i.e., Frasers Property and Dow Jones go up and down completely randomly.
Pair Corralation between Frasers Property and Dow Jones
Assuming the 90 days trading horizon Frasers Property Public is expected to under-perform the Dow Jones. In addition to that, Frasers Property is 1.96 times more volatile than Dow Jones Industrial. It trades about -0.02 of its total potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.08 per unit of volatility. If you would invest 3,389,102 in Dow Jones Industrial on September 27, 2024 and sell it today you would earn a total of 940,601 from holding Dow Jones Industrial or generate 27.75% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 96.64% |
Values | Daily Returns |
Frasers Property Public vs. Dow Jones Industrial
Performance |
Timeline |
Frasers Property and Dow Jones Volatility Contrast
Predicted Return Density |
Returns |
Frasers Property Public
Pair trading matchups for Frasers Property
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with Frasers Property and Dow Jones
The main advantage of trading using opposite Frasers Property and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frasers Property position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.Frasers Property vs. Singha Estate Public | Frasers Property vs. Areeya Property Public | Frasers Property vs. Asset Five Group | Frasers Property vs. PINTHONG INDUSTRIAL PARK |
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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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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