Correlation Between THR and EOS
Can any of the company-specific risk be diversified away by investing in both THR and EOS 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 THR and EOS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between THR and EOS, you can compare the effects of market volatilities on THR and EOS 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 THR with a short position of EOS. Check out your portfolio center. Please also check ongoing floating volatility patterns of THR and EOS.
Diversification Opportunities for THR and EOS
Pay attention - limited upside
The 3 months correlation between THR and EOS is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding THR and EOS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on EOS and THR 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 THR are associated (or correlated) with EOS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EOS has no effect on the direction of THR i.e., THR and EOS go up and down completely randomly.
Pair Corralation between THR and EOS
Assuming the 90 days trading horizon THR is expected to generate 6.35 times more return on investment than EOS. However, THR is 6.35 times more volatile than EOS. It trades about 0.05 of its potential returns per unit of risk. EOS is currently generating about -0.01 per unit of risk. If you would invest 1,020,000 in THR on December 29, 2023 and sell it today you would earn a total of 29,715 from holding THR or generate 2.91% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Flat |
Strength | Insignificant |
Accuracy | 74.51% |
Values | Daily Returns |
THR vs. EOS
Performance |
Timeline |
THR |
Risk-Adjusted Performance
0 of 100
Low | High |
Very Weak
EOS |
THR and EOS Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with THR and EOS
The main advantage of trading using opposite THR and EOS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if THR position performs unexpectedly, EOS 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 EOS will offset losses from the drop in EOS's long position.The idea behind THR and EOS 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Other Complementary Tools
Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
Commodity Directory Find actively traded commodities issued by global exchanges | |
Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
Money Managers Screen money managers from public funds and ETFs managed around the world | |
Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
Equity Valuation Check real value of public entities based on technical and fundamental data |