Correlation Between FactSet Research and Capri Holdings

Can any of the company-specific risk be diversified away by investing in both FactSet Research and Capri Holdings 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 FactSet Research and Capri Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between FactSet Research Systems and Capri Holdings, you can compare the effects of market volatilities on FactSet Research and Capri Holdings 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 FactSet Research with a short position of Capri Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of FactSet Research and Capri Holdings.

Diversification Opportunities for FactSet Research and Capri Holdings

0.8

Correlation Coefficient

FactSet Research  Capri Holdings

Very poor diversification

The 3 months correlation between FactSet and Capri is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and Capri Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Capri Holdings and FactSet Research 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 FactSet Research Systems are associated (or correlated) with Capri Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Capri Holdings has no effect on the direction of FactSet Research i.e., FactSet Research and Capri Holdings go up and down completely randomly.

Pair Corralation between FactSet Research and Capri Holdings

Considering the 90-day investment horizon FactSet Research Systems is expected to generate 0.43 times more return on investment than Capri Holdings. However, FactSet Research Systems is 2.33 times less risky than Capri Holdings. It trades about 0.02 of its potential returns per unit of risk. Capri Holdings is currently generating about 0.0 per unit of risk. If you would invest  37,160  in FactSet Research Systems on January 26, 2024 and sell it today you would earn a total of  5,123  from holding FactSet Research Systems or generate 13.79% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	99.8%
Values	Daily Returns

FactSet Research Systems  vs.  Capri Holdings

FactSet Research Systems

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days FactSet Research Systems has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's fundamental indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Capri Holdings

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Capri Holdings has generated negative risk-adjusted returns adding no value to investors with long positions. Despite unfluctuating performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in May 2024. The recent confusion may also be a sign of long-lasting up-swing for the firm traders.

Pair Trading with FactSet Research and Capri Holdings

The main advantage of trading using opposite FactSet Research and Capri Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FactSet Research position performs unexpectedly, Capri Holdings 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 Capri Holdings will offset losses from the drop in Capri Holdings' long position.

The idea behind FactSet Research Systems and Capri Holdings 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.