Correlation Between EPAM Systems and Digimarc
Can any of the company-specific risk be diversified away by investing in both EPAM Systems and Digimarc 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 EPAM Systems and Digimarc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between EPAM Systems and Digimarc, you can compare the effects of market volatilities on EPAM Systems and Digimarc 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 EPAM Systems with a short position of Digimarc. Check out your portfolio center. Please also check ongoing floating volatility patterns of EPAM Systems and Digimarc.
Diversification Opportunities for EPAM Systems and Digimarc
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between EPAM and Digimarc is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding EPAM Systems and Digimarc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Digimarc and EPAM Systems 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 EPAM Systems are associated (or correlated) with Digimarc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Digimarc has no effect on the direction of EPAM Systems i.e., EPAM Systems and Digimarc go up and down completely randomly.
Pair Corralation between EPAM Systems and Digimarc
Given the investment horizon of 90 days EPAM Systems is expected to generate about the same return on investment as Digimarc. But, EPAM Systems is 1.21 times less risky than Digimarc. It trades about -0.47 of its potential returns per unit of risk. Digimarc is currently generating about -0.38 per unit of risk. If you would invest 2,753 in Digimarc on January 19, 2024 and sell it today you would lose (454.00) from holding Digimarc or give up 16.49% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
EPAM Systems vs. Digimarc
Performance |
| Timeline |
| EPAM Systems |
| Digimarc |
EPAM Systems and Digimarc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with EPAM Systems and Digimarc
The main advantage of trading using opposite EPAM Systems and Digimarc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if EPAM Systems position performs unexpectedly, Digimarc 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 Digimarc will offset losses from the drop in Digimarc's long position.| EPAM Systems vs. International Business Machines | EPAM Systems vs. Aurora Innovation | EPAM Systems vs. ARB IOT Group | EPAM Systems vs. 9F Inc |
| Digimarc vs. Pfizer Inc | Digimarc vs. Home Federal Bancorp | Digimarc vs. Betterware De Mexico | Digimarc vs. Heartland Financial USA |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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