Correlation Between WIG 30 and PSI 20
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By analyzing existing cross correlation between WIG 30 and PSI 20 Stock, you can compare the effects of market volatilities on WIG 30 and PSI 20 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 WIG 30 with a short position of PSI 20. Check out your portfolio center. Please also check ongoing floating volatility patterns of WIG 30 and PSI 20.
Diversification Opportunities for WIG 30 and PSI 20
Very weak diversification
The 3 months correlation between WIG and PSI is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding WIG 30 and PSI 20 Stock in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PSI 20 Stock and WIG 30 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 WIG 30 are associated (or correlated) with PSI 20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PSI 20 Stock has no effect on the direction of WIG 30 i.e., WIG 30 and PSI 20 go up and down completely randomly.
Pair Corralation between WIG 30 and PSI 20
Assuming the 90 days trading horizon WIG 30 is expected to generate 3.09 times less return on investment than PSI 20. In addition to that, WIG 30 is 1.08 times more volatile than PSI 20 Stock. It trades about 0.06 of its total potential returns per unit of risk. PSI 20 Stock is currently generating about 0.21 per unit of volatility. If you would invest 630,721 in PSI 20 Stock on February 2, 2024 and sell it today you would earn a total of 30,835 from holding PSI 20 Stock or generate 4.89% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
WIG 30 vs. PSI 20 Stock
Performance |
Timeline |
WIG 30 and PSI 20 Volatility Contrast
Predicted Return Density |
Returns |
WIG 30
Pair trading matchups for WIG 30
Pair Trading with WIG 30 and PSI 20
The main advantage of trading using opposite WIG 30 and PSI 20 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if WIG 30 position performs unexpectedly, PSI 20 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 PSI 20 will offset losses from the drop in PSI 20's long position.The idea behind WIG 30 and PSI 20 Stock 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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