Correlation Between AGRICUL BK and S A P
Can any of the company-specific risk be diversified away by investing in both AGRICUL BK and S A P 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 AGRICUL BK and S A P into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGRICUL BK CHINA H and SAP SE, you can compare the effects of market volatilities on AGRICUL BK and S A P 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 AGRICUL BK with a short position of S A P. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGRICUL BK and S A P.
Diversification Opportunities for AGRICUL BK and S A P
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between AGRICUL and SAP is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding AGRICUL BK CHINA H and SAP SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAP SE and AGRICUL BK 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 AGRICUL BK CHINA H are associated (or correlated) with S A P. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAP SE has no effect on the direction of AGRICUL BK i.e., AGRICUL BK and S A P go up and down completely randomly.
Pair Corralation between AGRICUL BK and S A P
Assuming the 90 days trading horizon AGRICUL BK is expected to generate 2.57 times less return on investment than S A P. In addition to that, AGRICUL BK is 1.51 times more volatile than SAP SE. It trades about 0.01 of its total potential returns per unit of risk. SAP SE is currently generating about 0.04 per unit of volatility. If you would invest 22,230 in SAP SE on August 28, 2024 and sell it today you would earn a total of 205.00 from holding SAP SE or generate 0.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGRICUL BK CHINA H vs. SAP SE
Performance |
| Timeline |
| AGRICUL BK CHINA |
| SAP SE |
AGRICUL BK and S A P Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGRICUL BK and S A P
The main advantage of trading using opposite AGRICUL BK and S A P positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGRICUL BK position performs unexpectedly, S A P 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 S A P will offset losses from the drop in S A P's long position.| AGRICUL BK vs. ACCSYS TECHPLC EO | AGRICUL BK vs. Wyndham Hotels Resorts | AGRICUL BK vs. FARO Technologies | AGRICUL BK vs. MHP Hotel 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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