Correlation Between Novartis and Mikron Holding
Can any of the company-specific risk be diversified away by investing in both Novartis and Mikron Holding 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 Novartis and Mikron Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Novartis AG and Mikron Holding AG, you can compare the effects of market volatilities on Novartis and Mikron 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 Novartis with a short position of Mikron Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Novartis and Mikron Holding.
Diversification Opportunities for Novartis and Mikron Holding
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Novartis and Mikron is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Novartis AG and Mikron Holding AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mikron Holding AG and Novartis 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 Novartis AG are associated (or correlated) with Mikron Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mikron Holding AG has no effect on the direction of Novartis i.e., Novartis and Mikron Holding go up and down completely randomly.
Pair Corralation between Novartis and Mikron Holding
Assuming the 90 days trading horizon Novartis is expected to generate 1.44 times less return on investment than Mikron Holding. But when comparing it to its historical volatility, Novartis AG is 1.7 times less risky than Mikron Holding. It trades about 0.03 of its potential returns per unit of risk. Mikron Holding AG is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 1,253 in Mikron Holding AG on September 12, 2024 and sell it today you would earn a total of 112.00 from holding Mikron Holding AG or generate 8.94% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Novartis AG vs. Mikron Holding AG
Performance |
| Timeline |
| Novartis AG |
| Mikron Holding AG |
Novartis and Mikron Holding Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Novartis and Mikron Holding
The main advantage of trading using opposite Novartis and Mikron Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Novartis position performs unexpectedly, Mikron 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 Mikron Holding will offset losses from the drop in Mikron Holding's long position.| Novartis vs. Roche Holding AG | Novartis vs. Nestl SA | Novartis vs. Zurich Insurance Group | Novartis vs. Swiss Re AG |
| Mikron Holding vs. Sulzer AG | Mikron Holding vs. Helvetia Holding AG | Mikron Holding vs. Swiss Life Holding | Mikron Holding vs. Adecco Group 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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