Correlation Between DAX Index and Roche Holding
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By analyzing existing cross correlation between DAX Index and Roche Holding Ltd, you can compare the effects of market volatilities on DAX Index and Roche Holding 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 DAX Index with a short position of Roche Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of DAX Index and Roche Holding.
Diversification Opportunities for DAX Index and Roche Holding
-0.04 | Correlation Coefficient |
Good diversification
The 3 months correlation between DAX and Roche is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding DAX Index and Roche Holding Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Roche Holding and DAX Index 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 DAX Index are associated (or correlated) with Roche Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Roche Holding has no effect on the direction of DAX Index i.e., DAX Index and Roche Holding go up and down completely randomly.
Pair Corralation between DAX Index and Roche Holding
Assuming the 90 days trading horizon DAX Index is expected to generate 0.56 times more return on investment than Roche Holding. However, DAX Index is 1.8 times less risky than Roche Holding. It trades about -0.05 of its potential returns per unit of risk. Roche Holding Ltd is currently generating about -0.26 per unit of risk. If you would invest 1,953,162 in DAX Index on August 29, 2024 and sell it today you would lose (23,564) from holding DAX Index or give up 1.21% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
DAX Index vs. Roche Holding Ltd
Performance |
| Timeline |
DAX Index and Roche Holding Volatility Contrast
Predicted Return Density |
| Returns |
DAX Index
Pair trading matchups for DAX Index
Roche Holding Ltd
Pair trading matchups for Roche Holding
Pair Trading with DAX Index and Roche Holding
The main advantage of trading using opposite DAX Index and Roche Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DAX Index position performs unexpectedly, Roche Holding 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 Roche Holding will offset losses from the drop in Roche Holding's long position.| DAX Index vs. Gladstone Investment | DAX Index vs. REINET INVESTMENTS SCA | DAX Index vs. CarsalesCom | DAX Index vs. MARKET VECTR RETAIL |
| Roche Holding vs. Entravision Communications | Roche Holding vs. Verizon Communications | Roche Holding vs. Singapore Telecommunications Limited | Roche Holding vs. CNVISION MEDIA |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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