Correlation Between ALM Equity and AB Sagax
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By analyzing existing cross correlation between ALM Equity AB and AB Sagax, you can compare the effects of market volatilities on ALM Equity and AB Sagax 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 ALM Equity with a short position of AB Sagax. Check out your portfolio center. Please also check ongoing floating volatility patterns of ALM Equity and AB Sagax.
Diversification Opportunities for ALM Equity and AB Sagax
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ALM and SAGA-B is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding ALM Equity AB and AB Sagax in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AB Sagax and ALM Equity 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 ALM Equity AB are associated (or correlated) with AB Sagax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AB Sagax has no effect on the direction of ALM Equity i.e., ALM Equity and AB Sagax go up and down completely randomly.
Pair Corralation between ALM Equity and AB Sagax
Assuming the 90 days trading horizon ALM Equity is expected to generate 4.92 times less return on investment than AB Sagax. But when comparing it to its historical volatility, ALM Equity AB is 2.27 times less risky than AB Sagax. It trades about 0.08 of its potential returns per unit of risk. AB Sagax is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 22,260 in AB Sagax on October 20, 2024 and sell it today you would earn a total of 1,320 from holding AB Sagax or generate 5.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 94.12% |
| Values | Daily Returns |
ALM Equity AB vs. AB Sagax
Performance |
| Timeline |
| ALM Equity AB |
| AB Sagax |
ALM Equity and AB Sagax Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ALM Equity and AB Sagax
The main advantage of trading using opposite ALM Equity and AB Sagax positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ALM Equity position performs unexpectedly, AB Sagax 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 AB Sagax will offset losses from the drop in AB Sagax's long position.| ALM Equity vs. Atrium Ljungberg AB | ALM Equity vs. Platzer Fastigheter Holding | ALM Equity vs. Nyfosa AB | ALM Equity vs. Fabege AB |
| AB Sagax vs. Fastighets AB Balder | AB Sagax vs. Fabege AB | AB Sagax vs. Wihlborgs Fastigheter AB | AB Sagax vs. Castellum AB |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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