Correlation Between Erste Group and AGRANA Beteiligungs
Can any of the company-specific risk be diversified away by investing in both Erste Group and AGRANA Beteiligungs 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 Erste Group and AGRANA Beteiligungs into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Erste Group Bank and AGRANA Beteiligungs Aktiengesellschaft, you can compare the effects of market volatilities on Erste Group and AGRANA Beteiligungs 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 Erste Group with a short position of AGRANA Beteiligungs. Check out your portfolio center. Please also check ongoing floating volatility patterns of Erste Group and AGRANA Beteiligungs.
Diversification Opportunities for Erste Group and AGRANA Beteiligungs
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Erste and AGRANA is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Erste Group Bank and AGRANA Beteiligungs Aktiengese in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGRANA Beteiligungs and Erste Group 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 Erste Group Bank are associated (or correlated) with AGRANA Beteiligungs. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGRANA Beteiligungs has no effect on the direction of Erste Group i.e., Erste Group and AGRANA Beteiligungs go up and down completely randomly.
Pair Corralation between Erste Group and AGRANA Beteiligungs
Assuming the 90 days trading horizon Erste Group is expected to generate 1.15 times less return on investment than AGRANA Beteiligungs. But when comparing it to its historical volatility, Erste Group Bank is 1.29 times less risky than AGRANA Beteiligungs. It trades about 0.18 of its potential returns per unit of risk. AGRANA Beteiligungs Aktiengesellschaft is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 1,035 in AGRANA Beteiligungs Aktiengesellschaft on August 26, 2024 and sell it today you would earn a total of 75.00 from holding AGRANA Beteiligungs Aktiengesellschaft or generate 7.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Erste Group Bank vs. AGRANA Beteiligungs Aktiengese
Performance |
| Timeline |
| Erste Group Bank |
| AGRANA Beteiligungs |
Erste Group and AGRANA Beteiligungs Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Erste Group and AGRANA Beteiligungs
The main advantage of trading using opposite Erste Group and AGRANA Beteiligungs positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Erste Group position performs unexpectedly, AGRANA Beteiligungs 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 AGRANA Beteiligungs will offset losses from the drop in AGRANA Beteiligungs' long position.| Erste Group vs. Raiffeisen Bank International | Erste Group vs. OMV Aktiengesellschaft | Erste Group vs. Voestalpine AG | Erste Group vs. Vienna Insurance Group |
| AGRANA Beteiligungs vs. Oesterr Post AG | AGRANA Beteiligungs vs. Andritz AG | AGRANA Beteiligungs vs. EVN AG | AGRANA Beteiligungs vs. Wienerberger AG |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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