Correlation Between DAX Index and S A P
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By analyzing existing cross correlation between DAX Index and SAP SE, you can compare the effects of market volatilities on DAX Index 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 DAX Index with a short position of S A P. Check out your portfolio center. Please also check ongoing floating volatility patterns of DAX Index and S A P.
Diversification Opportunities for DAX Index and S A P
Poor diversification
The 3 months correlation between DAX and SAP is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding DAX Index and SAP SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAP SE 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 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 DAX Index i.e., DAX Index and S A P go up and down completely randomly.
Pair Corralation between DAX Index and S A P
Assuming the 90 days trading horizon DAX Index is expected to generate 3.48 times less return on investment than S A P. But when comparing it to its historical volatility, DAX Index is 1.92 times less risky than S A P. It trades about 0.08 of its potential returns per unit of risk. SAP SE is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 13,783 in SAP SE on August 25, 2024 and sell it today you would earn a total of 8,832 from holding SAP SE or generate 64.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
DAX Index vs. SAP SE
Performance |
| Timeline |
DAX Index and S A P Volatility Contrast
Predicted Return Density |
| Returns |
DAX Index
Pair trading matchups for DAX Index
SAP SE
Pair trading matchups for S A P
Pair Trading with DAX Index and S A P
The main advantage of trading using opposite DAX Index and S A P positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DAX Index 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.| DAX Index vs. Granite Construction | DAX Index vs. AGRICULTBK HADR25 YC | DAX Index vs. ADRIATIC METALS LS 013355 | DAX Index vs. GREENX METALS LTD |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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