X axis : Stocks Price Correlation Coefficient |
Y axis : Quantity of stocks |
May-2016 |
1,000 Day Parameter |
4,338 NYSE Stocks Price |
Analysis |
This stock mode of correlation coefficient is 0.7 |
In other words, the correlation coefficient of the other stocks is the many levels 0.7 |
Kurtosis of the distribution of the correlation is -1.2, and skew is -0.15 |
Zero Correlation Histogram |
- The stock pair is concentrated in the correlation coefficient zero. |
- Case the diversification, Zero type will Overweight of the portfolio. |
- And, Zero type are often low volatility. |
Type A Correlation Histogram |
- The stock pair is concentrated in the plus high correlation coefficient and minus high correlation coefficient. |
- The A type will underweight of the portfolio. |
- This is not a normal distribution. |
Type B Correlation Histogram |
- The stock pair is concentrated in the plus high correlation coefficient. |
- The B type will underweight of the portfolio. |
- This is not a normal distribution. |
Type C Correlation Histogram |
- The stock pair is concentrated in the minus high correlation coefficient. |
- The C type will underweight of the portfolio. |
- This is not a normal distribution. |
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