Correlation Between SM Prime and Mitsubishi Estate

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

Diversification Opportunities for SM Prime and Mitsubishi Estate

0.14
  Correlation Coefficient

Average diversification

The 3 months correlation between SPHXF and Mitsubishi is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding SM Prime Holdings and Mitsubishi Estate Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitsubishi Estate and SM Prime 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 SM Prime Holdings are associated (or correlated) with Mitsubishi Estate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitsubishi Estate has no effect on the direction of SM Prime i.e., SM Prime and Mitsubishi Estate go up and down completely randomly.

Pair Corralation between SM Prime and Mitsubishi Estate

Assuming the 90 days horizon SM Prime Holdings is expected to generate 4.12 times more return on investment than Mitsubishi Estate. However, SM Prime is 4.12 times more volatile than Mitsubishi Estate Co. It trades about 0.03 of its potential returns per unit of risk. Mitsubishi Estate Co is currently generating about 0.03 per unit of risk. If you would invest  76.00  in SM Prime Holdings on January 20, 2024 and sell it today you would lose (17.00) from holding SM Prime Holdings or give up 22.37% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy99.79%
ValuesDaily Returns

SM Prime Holdings  vs.  Mitsubishi Estate Co

 Performance 
       Timeline  
SM Prime Holdings 

Risk-Adjusted Performance

2 of 100

 
Weak
 
Strong
Weak
Compared to the overall equity markets, risk-adjusted returns on investments in SM Prime Holdings are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, SM Prime is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.
Mitsubishi Estate 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Mitsubishi Estate Co are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of fairly inconsistent technical and fundamental indicators, Mitsubishi Estate showed solid returns over the last few months and may actually be approaching a breakup point.

SM Prime and Mitsubishi Estate Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with SM Prime and Mitsubishi Estate

The main advantage of trading using opposite SM Prime and Mitsubishi Estate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SM Prime position performs unexpectedly, Mitsubishi Estate 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 Mitsubishi Estate will offset losses from the drop in Mitsubishi Estate's long position.
The idea behind SM Prime Holdings and Mitsubishi Estate Co 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.

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