Correlation Between AMS Small and CROBEX
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By analyzing existing cross correlation between AMS Small Cap and CROBEX, you can compare the effects of market volatilities on AMS Small and CROBEX 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 AMS Small with a short position of CROBEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of AMS Small and CROBEX.
Diversification Opportunities for AMS Small and CROBEX
Weak diversification
The 3 months correlation between AMS and CROBEX is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding AMS Small Cap and CROBEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CROBEX and AMS Small 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 AMS Small Cap are associated (or correlated) with CROBEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CROBEX has no effect on the direction of AMS Small i.e., AMS Small and CROBEX go up and down completely randomly.
Pair Corralation between AMS Small and CROBEX
Assuming the 90 days trading horizon AMS Small Cap is expected to under-perform the CROBEX. But the index apears to be less risky and, when comparing its historical volatility, AMS Small Cap is 29.19 times less risky than CROBEX. The index trades about -0.01 of its potential returns per unit of risk. The CROBEX is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 207,372 in CROBEX on February 1, 2024 and sell it today you would earn a total of 73,257 from holding CROBEX or generate 35.33% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 97.03% |
Values | Daily Returns |
AMS Small Cap vs. CROBEX
Performance |
Timeline |
AMS Small and CROBEX Volatility Contrast
Predicted Return Density |
Returns |
AMS Small Cap
Pair trading matchups for AMS Small
CROBEX
Pair trading matchups for CROBEX
Pair Trading with AMS Small and CROBEX
The main advantage of trading using opposite AMS Small and CROBEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AMS Small position performs unexpectedly, CROBEX 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 CROBEX will offset losses from the drop in CROBEX's long position.AMS Small vs. Eurocastle Investment | AMS Small vs. BE Semiconductor Industries | AMS Small vs. SBM Offshore NV |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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