Correlation Between Sarofim Equity and Nomura Real

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

By analyzing existing cross correlation between Sarofim Equity and Nomura Real Estate, you can compare the effects of market volatilities on Sarofim Equity and Nomura Real 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 Sarofim Equity with a short position of Nomura Real. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sarofim Equity and Nomura Real.

Diversification Opportunities for Sarofim Equity and Nomura Real

-0.28

Correlation Coefficient

Sarofim Equity  Nomura Real

Very good diversification

The 3 months correlation between Sarofim and Nomura is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Sarofim Equity and Nomura Real Estate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nomura Real Estate and Sarofim Equity 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 Sarofim Equity are associated (or correlated) with Nomura Real. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nomura Real Estate has no effect on the direction of Sarofim Equity i.e., Sarofim Equity and Nomura Real go up and down completely randomly.

Pair Corralation between Sarofim Equity and Nomura Real

Assuming the 90 days horizon Sarofim Equity is expected to under-perform the Nomura Real. In addition to that, Sarofim Equity is 2.67 times more volatile than Nomura Real Estate. It trades about -0.11 of its total potential returns per unit of risk. Nomura Real Estate is currently generating about -0.13 per unit of volatility. If you would invest  107,065  in Nomura Real Estate on September 25, 2024 and sell it today you would lose (6,230) from holding Nomura Real Estate or give up 5.82% of portfolio value over 90 days.

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

Sarofim Equity  vs.  Nomura Real Estate

Sarofim Equity

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sarofim Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's primary indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Nomura Real Estate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nomura Real Estate has generated negative risk-adjusted returns adding no value to fund investors. Despite nearly stable basic indicators, Nomura Real is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Sarofim Equity and Nomura Real

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

The idea behind Sarofim Equity and Nomura Real Estate 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.