Correlation Between Quant and ME

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Quant and ME 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 Quant and ME into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Quant and ME, you can compare the effects of market volatilities on Quant and ME 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 Quant with a short position of ME. Check out your portfolio center. Please also check ongoing floating volatility patterns of Quant and ME.

Diversification Opportunities for Quant and ME

0.48
  Correlation Coefficient

Very weak diversification

The 3 months correlation between Quant and ME is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Quant and ME in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ME and Quant 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 Quant are associated (or correlated) with ME. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ME has no effect on the direction of Quant i.e., Quant and ME go up and down completely randomly.

Pair Corralation between Quant and ME

Assuming the 90 days trading horizon Quant is expected to generate 3.39 times less return on investment than ME. But when comparing it to its historical volatility, Quant is 2.89 times less risky than ME. It trades about 0.03 of its potential returns per unit of risk. ME is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  0.36  in ME on December 30, 2023 and sell it today you would lose (0.29) from holding ME or give up 80.35% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Quant  vs.  ME

 Performance 
       Timeline  
Quant 

Risk-Adjusted Performance

4 of 100

 
Low
 
High
Very Weak
Compared to the overall equity markets, risk-adjusted returns on investments in Quant are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady basic indicators, Quant exhibited solid returns over the last few months and may actually be approaching a breakup point.
ME 

Risk-Adjusted Performance

19 of 100

 
Low
 
High
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in ME are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, ME exhibited solid returns over the last few months and may actually be approaching a breakup point.

Quant and ME Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Quant and ME

The main advantage of trading using opposite Quant and ME positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Quant position performs unexpectedly, ME 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 ME will offset losses from the drop in ME's long position.
The idea behind Quant and ME 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.
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.

Other Complementary Tools

Latest Portfolios
Quick portfolio dashboard that showcases your latest portfolios
Portfolio Analyzer
Portfolio analysis module that provides access to portfolio diagnostics and optimization engine
Funds Screener
Find actively-traded funds from around the world traded on over 30 global exchanges
Piotroski F Score
Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals
Transaction History
View history of all your transactions and understand their impact on performance
Price Transformation
Use Price Transformation models to analyze the depth of different equity instruments across global markets
Content Syndication
Quickly integrate customizable finance content to your own investment portal
Earnings Calls
Check upcoming earnings announcements updated hourly across public exchanges
Idea Optimizer
Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio
My Watchlist Analysis
Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like