Correlation Between Commerzbank and Crédit Agricole
Can any of the company-specific risk be diversified away by investing in both Commerzbank and Crédit Agricole 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 Crédit Agricole into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commerzbank AG PK and Crdit Agricole SA, you can compare the effects of market volatilities on Commerzbank and Crédit Agricole 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 Crédit Agricole. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commerzbank and Crédit Agricole.
Diversification Opportunities for Commerzbank and Crédit Agricole
-0.06 | Correlation Coefficient |
Good diversification
The 3 months correlation between Commerzbank and Crédit is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Commerzbank AG PK and Crdit Agricole SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Crdit Agricole SA 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 PK are associated (or correlated) with Crédit Agricole. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Crdit Agricole SA has no effect on the direction of Commerzbank i.e., Commerzbank and Crédit Agricole go up and down completely randomly.
Pair Corralation between Commerzbank and Crédit Agricole
Assuming the 90 days horizon Commerzbank is expected to generate 1.21 times less return on investment than Crédit Agricole. But when comparing it to its historical volatility, Commerzbank AG PK is 1.62 times less risky than Crédit Agricole. It trades about 0.05 of its potential returns per unit of risk. Crdit Agricole SA is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 1,034 in Crdit Agricole SA on August 27, 2024 and sell it today you would earn a total of 380.00 from holding Crdit Agricole SA or generate 36.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 92.97% |
| Values | Daily Returns |
Commerzbank AG PK vs. Crdit Agricole SA
Performance |
| Timeline |
| Commerzbank AG PK |
| Crdit Agricole SA |
Commerzbank and Crédit Agricole Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commerzbank and Crédit Agricole
The main advantage of trading using opposite Commerzbank and Crédit Agricole positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commerzbank position performs unexpectedly, Crédit Agricole 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 Crédit Agricole will offset losses from the drop in Crédit Agricole's long position.The idea behind Commerzbank AG PK and Crdit Agricole SA 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.| Crédit Agricole vs. BNP Paribas SA | Crédit Agricole vs. Farmers And Merchants | Crédit Agricole vs. The Bancorp | Crédit Agricole vs. Banco Bradesco SA |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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