Correlation Between Capri Holdings and Moncler SpA

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

By analyzing existing cross correlation between Capri Holdings Limited and Moncler SpA, you can compare the effects of market volatilities on Capri Holdings and Moncler SpA 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 Capri Holdings with a short position of Moncler SpA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and Moncler SpA.

Diversification Opportunities for Capri Holdings and Moncler SpA

0.69

Correlation Coefficient

Capri Holdings  Moncler SpA

Poor diversification

The 3 months correlation between Capri and Moncler is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings Limited and Moncler SpA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Moncler SpA and Capri Holdings 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 Capri Holdings Limited are associated (or correlated) with Moncler SpA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Moncler SpA has no effect on the direction of Capri Holdings i.e., Capri Holdings and Moncler SpA go up and down completely randomly.

Pair Corralation between Capri Holdings and Moncler SpA

Assuming the 90 days horizon Capri Holdings Limited is expected to under-perform the Moncler SpA. In addition to that, Capri Holdings is 2.9 times more volatile than Moncler SpA. It trades about -0.07 of its total potential returns per unit of risk. Moncler SpA is currently generating about 0.03 per unit of volatility. If you would invest  4,849  in Moncler SpA on September 22, 2024 and sell it today you would earn a total of  134.00  from holding Moncler SpA or generate 2.76% return on investment over 90 days.

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

Capri Holdings Limited  vs.  Moncler SpA

Capri Holdings

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Capri Holdings Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Moncler SpA

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Moncler SpA are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Moncler SpA is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Capri Holdings and Moncler SpA

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

The idea behind Capri Holdings Limited and Moncler SpA 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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.