Correlation Between Big 5 and Thyssenkrupp
Can any of the company-specific risk be diversified away by investing in both Big 5 and Thyssenkrupp 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 Big 5 and Thyssenkrupp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Big 5 Sporting and thyssenkrupp AG, you can compare the effects of market volatilities on Big 5 and Thyssenkrupp 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 Big 5 with a short position of Thyssenkrupp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Big 5 and Thyssenkrupp.
Diversification Opportunities for Big 5 and Thyssenkrupp
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Big and Thyssenkrupp is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Big 5 Sporting and thyssenkrupp AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on thyssenkrupp AG and Big 5 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 Big 5 Sporting are associated (or correlated) with Thyssenkrupp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of thyssenkrupp AG has no effect on the direction of Big 5 i.e., Big 5 and Thyssenkrupp go up and down completely randomly.
Pair Corralation between Big 5 and Thyssenkrupp
Assuming the 90 days horizon Big 5 is expected to generate 13.45 times less return on investment than Thyssenkrupp. In addition to that, Big 5 is 1.01 times more volatile than thyssenkrupp AG. It trades about 0.02 of its total potential returns per unit of risk. thyssenkrupp AG is currently generating about 0.34 per unit of volatility. If you would invest 333.00 in thyssenkrupp AG on September 12, 2024 and sell it today you would earn a total of 85.00 from holding thyssenkrupp AG or generate 25.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Big 5 Sporting vs. thyssenkrupp AG
Performance |
| Timeline |
| Big 5 Sporting |
| thyssenkrupp AG |
Big 5 and Thyssenkrupp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Big 5 and Thyssenkrupp
The main advantage of trading using opposite Big 5 and Thyssenkrupp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Big 5 position performs unexpectedly, Thyssenkrupp 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 Thyssenkrupp will offset losses from the drop in Thyssenkrupp's long position.| Big 5 vs. Superior Plus Corp | Big 5 vs. SIVERS SEMICONDUCTORS AB | Big 5 vs. NorAm Drilling AS | Big 5 vs. Norsk Hydro ASA |
| Thyssenkrupp vs. Grupo Carso SAB | Thyssenkrupp vs. Big 5 Sporting | Thyssenkrupp vs. Columbia Sportswear | Thyssenkrupp vs. COMMERCIAL VEHICLE |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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