Correlation Between Intesa Sanpaolo and Commerzbank
Can any of the company-specific risk be diversified away by investing in both Intesa Sanpaolo and Commerzbank 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 Intesa Sanpaolo and Commerzbank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Intesa Sanpaolo SpA and Commerzbank AG PK, you can compare the effects of market volatilities on Intesa Sanpaolo and Commerzbank 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 Intesa Sanpaolo with a short position of Commerzbank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Intesa Sanpaolo and Commerzbank.
Diversification Opportunities for Intesa Sanpaolo and Commerzbank
0.57 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Intesa and Commerzbank is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Intesa Sanpaolo SpA and Commerzbank AG PK in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Commerzbank AG PK and Intesa Sanpaolo 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 Intesa Sanpaolo SpA are associated (or correlated) with Commerzbank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Commerzbank AG PK has no effect on the direction of Intesa Sanpaolo i.e., Intesa Sanpaolo and Commerzbank go up and down completely randomly.
Pair Corralation between Intesa Sanpaolo and Commerzbank
Assuming the 90 days horizon Intesa Sanpaolo SpA is expected to generate 0.96 times more return on investment than Commerzbank. However, Intesa Sanpaolo SpA is 1.04 times less risky than Commerzbank. It trades about -0.21 of its potential returns per unit of risk. Commerzbank AG PK is currently generating about -0.25 per unit of risk. If you would invest 2,547 in Intesa Sanpaolo SpA on August 27, 2024 and sell it today you would lose (190.00) from holding Intesa Sanpaolo SpA or give up 7.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Intesa Sanpaolo SpA vs. Commerzbank AG PK
Performance |
| Timeline |
| Intesa Sanpaolo SpA |
| Commerzbank AG PK |
Intesa Sanpaolo and Commerzbank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Intesa Sanpaolo and Commerzbank
The main advantage of trading using opposite Intesa Sanpaolo and Commerzbank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Intesa Sanpaolo position performs unexpectedly, Commerzbank 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 Commerzbank will offset losses from the drop in Commerzbank's long position.| Intesa Sanpaolo vs. Banco Do Brasil | Intesa Sanpaolo vs. KBC Groep NV | Intesa Sanpaolo vs. Fentura Financial | Intesa Sanpaolo vs. Credit Agricole SA |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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