Correlation Between Value Capital and Shaniv

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

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

Diversification Opportunities for Value Capital and Shaniv

-0.34

Correlation Coefficient

Value Capital  Shaniv

Very good diversification

The 3 months correlation between Value and Shaniv is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Value Capital One and Shaniv in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Shaniv and Value Capital 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 Value Capital One are associated (or correlated) with Shaniv. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shaniv has no effect on the direction of Value Capital i.e., Value Capital and Shaniv go up and down completely randomly.

Pair Corralation between Value Capital and Shaniv

Assuming the 90 days trading horizon Value Capital is expected to generate 3.34 times less return on investment than Shaniv. In addition to that, Value Capital is 1.79 times more volatile than Shaniv. It trades about 0.04 of its total potential returns per unit of risk. Shaniv is currently generating about 0.24 per unit of volatility. If you would invest  34,183  in Shaniv on September 29, 2024 and sell it today you would earn a total of  7,587  from holding Shaniv or generate 22.2% return on investment over 90 days.

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

Value Capital One  vs.  Shaniv

Value Capital One

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Value Capital One are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Value Capital may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Shaniv

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Shaniv are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Shaniv sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Value Capital and Shaniv

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

The idea behind Value Capital One and Shaniv 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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.