Correlation Between Commerzbank and Intesa Sanpaolo
Can any of the company-specific risk be diversified away by investing in both Commerzbank and Intesa Sanpaolo 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 Intesa Sanpaolo 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 Intesa Sanpaolo SpA, you can compare the effects of market volatilities on Commerzbank and Intesa Sanpaolo 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 Intesa Sanpaolo. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commerzbank and Intesa Sanpaolo.
Diversification Opportunities for Commerzbank and Intesa Sanpaolo
0.57 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Commerzbank and Intesa is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Commerzbank AG PK and Intesa Sanpaolo SpA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intesa Sanpaolo SpA 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 Intesa Sanpaolo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intesa Sanpaolo SpA has no effect on the direction of Commerzbank i.e., Commerzbank and Intesa Sanpaolo go up and down completely randomly.
Pair Corralation between Commerzbank and Intesa Sanpaolo
Assuming the 90 days horizon Commerzbank is expected to generate 1.11 times less return on investment than Intesa Sanpaolo. In addition to that, Commerzbank is 1.49 times more volatile than Intesa Sanpaolo SpA. It trades about 0.07 of its total potential returns per unit of risk. Intesa Sanpaolo SpA is currently generating about 0.12 per unit of volatility. If you would invest 1,321 in Intesa Sanpaolo SpA on August 27, 2024 and sell it today you would earn a total of 1,036 from holding Intesa Sanpaolo SpA or generate 78.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Commerzbank AG PK vs. Intesa Sanpaolo SpA
Performance |
| Timeline |
| Commerzbank AG PK |
| Intesa Sanpaolo SpA |
Commerzbank and Intesa Sanpaolo Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commerzbank and Intesa Sanpaolo
The main advantage of trading using opposite Commerzbank and Intesa Sanpaolo positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commerzbank position performs unexpectedly, Intesa Sanpaolo 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 Intesa Sanpaolo will offset losses from the drop in Intesa Sanpaolo's long position.The idea behind Commerzbank AG PK and Intesa Sanpaolo SpA 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.| Intesa Sanpaolo vs. Banco Do Brasil | Intesa Sanpaolo vs. KBC Groep NV | Intesa Sanpaolo vs. Fentura Financial | Intesa Sanpaolo vs. Credit Agricole 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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