Correlation Between Great Lakes and Comfort Systems
Can any of the company-specific risk be diversified away by investing in both Great Lakes and Comfort Systems 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 Great Lakes and Comfort Systems into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Great Lakes Dredge and Comfort Systems USA, you can compare the effects of market volatilities on Great Lakes and Comfort Systems 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 Great Lakes with a short position of Comfort Systems. Check out your portfolio center. Please also check ongoing floating volatility patterns of Great Lakes and Comfort Systems.
Diversification Opportunities for Great Lakes and Comfort Systems
0.04 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Great and Comfort is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding Great Lakes Dredge and Comfort Systems USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Comfort Systems USA and Great Lakes 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 Great Lakes Dredge are associated (or correlated) with Comfort Systems. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Comfort Systems USA has no effect on the direction of Great Lakes i.e., Great Lakes and Comfort Systems go up and down completely randomly.
Pair Corralation between Great Lakes and Comfort Systems
Given the investment horizon of 90 days Great Lakes is expected to generate 1.34 times less return on investment than Comfort Systems. In addition to that, Great Lakes is 1.53 times more volatile than Comfort Systems USA. It trades about 0.09 of its total potential returns per unit of risk. Comfort Systems USA is currently generating about 0.17 per unit of volatility. If you would invest 19,849 in Comfort Systems USA on February 21, 2024 and sell it today you would earn a total of 11,774 from holding Comfort Systems USA or generate 59.32% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 99.19% |
Values | Daily Returns |
Great Lakes Dredge vs. Comfort Systems USA
Performance |
Timeline |
Great Lakes Dredge |
Comfort Systems USA |
Great Lakes and Comfort Systems Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Great Lakes and Comfort Systems
The main advantage of trading using opposite Great Lakes and Comfort Systems positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Great Lakes position performs unexpectedly, Comfort Systems 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 Comfort Systems will offset losses from the drop in Comfort Systems' long position.Great Lakes vs. Tetra Tech | Great Lakes vs. Topbuild Corp | Great Lakes vs. Aecom Technology | Great Lakes vs. Matrix Service Co |
Comfort Systems vs. Tetra Tech | Comfort Systems vs. Topbuild Corp | Comfort Systems vs. Aecom Technology | Comfort Systems vs. Matrix Service Co |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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