Correlation Between Autodesk and SAP SE
Can any of the company-specific risk be diversified away by investing in both Autodesk and SAP SE 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 Autodesk and SAP SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Autodesk and SAP SE, you can compare the effects of market volatilities on Autodesk and SAP SE 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 Autodesk with a short position of SAP SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Autodesk and SAP SE.
Diversification Opportunities for Autodesk and SAP SE
Very poor diversification
The 3 months correlation between Autodesk and SAP is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Autodesk and SAP SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAP SE and Autodesk 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 Autodesk are associated (or correlated) with SAP SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAP SE has no effect on the direction of Autodesk i.e., Autodesk and SAP SE go up and down completely randomly.
Pair Corralation between Autodesk and SAP SE
Given the investment horizon of 90 days Autodesk is expected to generate 0.89 times more return on investment than SAP SE. However, Autodesk is 1.13 times less risky than SAP SE. It trades about 0.28 of its potential returns per unit of risk. SAP SE is currently generating about 0.09 per unit of risk. If you would invest 25,462 in Autodesk on August 28, 2024 and sell it today you would earn a total of 6,477 from holding Autodesk or generate 25.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Autodesk vs. SAP SE
Performance |
| Timeline |
| Autodesk |
| SAP SE |
Autodesk and SAP SE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Autodesk and SAP SE
The main advantage of trading using opposite Autodesk and SAP SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Autodesk position performs unexpectedly, SAP SE 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 SAP SE will offset losses from the drop in SAP SE's long position.The idea behind Autodesk and SAP SE 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
Other Complementary Tools
| Top Crypto Exchanges Search and analyze digital assets across top global cryptocurrency exchanges | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments |