Correlation Between IShares ATX and Valneva SE
Can any of the company-specific risk be diversified away by investing in both IShares ATX and Valneva SE 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 IShares ATX and Valneva SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between iShares ATX UCITS and Valneva SE, you can compare the effects of market volatilities on IShares ATX and Valneva SE 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 IShares ATX with a short position of Valneva SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of IShares ATX and Valneva SE.
Diversification Opportunities for IShares ATX and Valneva SE
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IShares and Valneva is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding iShares ATX UCITS and Valneva SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Valneva SE and IShares ATX 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 iShares ATX UCITS are associated (or correlated) with Valneva SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Valneva SE has no effect on the direction of IShares ATX i.e., IShares ATX and Valneva SE go up and down completely randomly.
Pair Corralation between IShares ATX and Valneva SE
Assuming the 90 days trading horizon iShares ATX UCITS is expected to generate 0.33 times more return on investment than Valneva SE. However, iShares ATX UCITS is 3.02 times less risky than Valneva SE. It trades about -0.03 of its potential returns per unit of risk. Valneva SE is currently generating about -0.41 per unit of risk. If you would invest 3,785 in iShares ATX UCITS on August 26, 2024 and sell it today you would lose (28.00) from holding iShares ATX UCITS or give up 0.74% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
iShares ATX UCITS vs. Valneva SE
Performance |
| Timeline |
| iShares ATX UCITS |
| Valneva SE |
IShares ATX and Valneva SE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IShares ATX and Valneva SE
The main advantage of trading using opposite IShares ATX and Valneva SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IShares ATX position performs unexpectedly, Valneva SE 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 Valneva SE will offset losses from the drop in Valneva SE's long position.| IShares ATX vs. iShares Core DAX | IShares ATX vs. RATH Aktiengesellschaft | IShares ATX vs. AT S Austria | IShares ATX vs. BAWAG Group AG |
| Valneva SE vs. BKS Bank AG | Valneva SE vs. UNIQA Insurance Group | Valneva SE vs. CNH Industrial NV | Valneva SE vs. Vienna Insurance Group |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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