Correlation Between Commerzbank and Absa Group
Can any of the company-specific risk be diversified away by investing in both Commerzbank and Absa Group 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 Commerzbank and Absa Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commerzbank AG and Absa Group Limited, you can compare the effects of market volatilities on Commerzbank and Absa Group 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 Commerzbank with a short position of Absa Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commerzbank and Absa Group.
Diversification Opportunities for Commerzbank and Absa Group
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Commerzbank and Absa is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Commerzbank AG and Absa Group Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absa Group Limited and Commerzbank 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 Commerzbank AG are associated (or correlated) with Absa Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absa Group Limited has no effect on the direction of Commerzbank i.e., Commerzbank and Absa Group go up and down completely randomly.
Pair Corralation between Commerzbank and Absa Group
Assuming the 90 days horizon Commerzbank AG is expected to under-perform the Absa Group. In addition to that, Commerzbank is 7.62 times more volatile than Absa Group Limited. It trades about -0.01 of its total potential returns per unit of risk. Absa Group Limited is currently generating about 0.09 per unit of volatility. If you would invest 772.00 in Absa Group Limited on September 1, 2024 and sell it today you would earn a total of 39.00 from holding Absa Group Limited or generate 5.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Commerzbank AG vs. Absa Group Limited
Performance |
| Timeline |
| Commerzbank AG |
| Absa Group Limited |
Commerzbank and Absa Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commerzbank and Absa Group
The main advantage of trading using opposite Commerzbank and Absa Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commerzbank position performs unexpectedly, Absa Group 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 Absa Group will offset losses from the drop in Absa Group's long position.| Commerzbank vs. Piraeus Bank SA | Commerzbank vs. Turkiye Garanti Bankasi | Commerzbank vs. Delhi Bank Corp | Commerzbank vs. Uwharrie Capital Corp |
| Absa Group vs. Piraeus Bank SA | Absa Group vs. Turkiye Garanti Bankasi | Absa Group vs. Delhi Bank Corp | Absa Group vs. Uwharrie Capital Corp |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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