Correlation Between Jastrzebska Spotka and Comp SA

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

By analyzing existing cross correlation between Jastrzebska Spotka Weglowa and Comp SA, you can compare the effects of market volatilities on Jastrzebska Spotka and Comp SA 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 Jastrzebska Spotka with a short position of Comp SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jastrzebska Spotka and Comp SA.

Diversification Opportunities for Jastrzebska Spotka and Comp SA

-0.44

Correlation Coefficient

Jastrzebska Spotka  Comp SA

Very good diversification

The 3 months correlation between Jastrzebska and Comp is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Jastrzebska Spotka Weglowa and Comp SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Comp SA and Jastrzebska Spotka 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 Jastrzebska Spotka Weglowa are associated (or correlated) with Comp SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Comp SA has no effect on the direction of Jastrzebska Spotka i.e., Jastrzebska Spotka and Comp SA go up and down completely randomly.

Pair Corralation between Jastrzebska Spotka and Comp SA

Assuming the 90 days trading horizon Jastrzebska Spotka is expected to generate 1.45 times less return on investment than Comp SA. In addition to that, Jastrzebska Spotka is 1.28 times more volatile than Comp SA. It trades about 0.07 of its total potential returns per unit of risk. Comp SA is currently generating about 0.13 per unit of volatility. If you would invest  11,500  in Comp SA on September 13, 2024 and sell it today you would earn a total of  1,750  from holding Comp SA or generate 15.22% return on investment over 90 days.

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

Jastrzebska Spotka Weglowa  vs.  Comp SA

Jastrzebska Spotka

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Jastrzebska Spotka Weglowa are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Jastrzebska Spotka may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Comp SA

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Comp SA are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Comp SA reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Jastrzebska Spotka and Comp SA

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

The idea behind Jastrzebska Spotka Weglowa and Comp 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.