Correlation Between Budapest and BIST Electricity
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By analyzing existing cross correlation between Budapest SE and BIST Electricity, you can compare the effects of market volatilities on Budapest and BIST Electricity 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 Budapest with a short position of BIST Electricity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Budapest and BIST Electricity.
Diversification Opportunities for Budapest and BIST Electricity
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Budapest and BIST is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Budapest SE and BIST Electricity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BIST Electricity and Budapest 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 Budapest SE are associated (or correlated) with BIST Electricity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BIST Electricity has no effect on the direction of Budapest i.e., Budapest and BIST Electricity go up and down completely randomly.
Pair Corralation between Budapest and BIST Electricity
Assuming the 90 days trading horizon Budapest is expected to generate 5.72 times less return on investment than BIST Electricity. But when comparing it to its historical volatility, Budapest SE is 1.83 times less risky than BIST Electricity. It trades about 0.1 of its potential returns per unit of risk. BIST Electricity is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest 55,221 in BIST Electricity on January 30, 2024 and sell it today you would earn a total of 5,310 from holding BIST Electricity or generate 9.62% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 85.0% |
Values | Daily Returns |
Budapest SE vs. BIST Electricity
Performance |
Timeline |
Budapest and BIST Electricity Volatility Contrast
Predicted Return Density |
Returns |
Budapest SE
Pair trading matchups for Budapest
BIST Electricity
Pair trading matchups for BIST Electricity
Pair Trading with Budapest and BIST Electricity
The main advantage of trading using opposite Budapest and BIST Electricity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Budapest position performs unexpectedly, BIST Electricity 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 BIST Electricity will offset losses from the drop in BIST Electricity's long position.Budapest vs. NordTelekom Telecommunications Service | Budapest vs. OTP Bank Nyrt | Budapest vs. Nutex Investments PLC | Budapest vs. Deutsche Bank AG |
BIST Electricity vs. Sekerbank TAS | BIST Electricity vs. Creditwest Faktoring AS | BIST Electricity vs. Turkish Airlines | BIST Electricity vs. Akcansa Cimento Sanayi |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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