Correlation Between Roche Holding and American Express
Can any of the company-specific risk be diversified away by investing in both Roche Holding and American Express 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 Roche Holding and American Express into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Roche Holding AG and American Express, you can compare the effects of market volatilities on Roche Holding and American Express 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 Roche Holding with a short position of American Express. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and American Express.
Diversification Opportunities for Roche Holding and American Express
-0.8 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Roche and American is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and American Express in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on American Express and Roche Holding 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 Roche Holding AG are associated (or correlated) with American Express. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of American Express has no effect on the direction of Roche Holding i.e., Roche Holding and American Express go up and down completely randomly.
Pair Corralation between Roche Holding and American Express
Assuming the 90 days horizon Roche Holding is expected to generate 2.42 times less return on investment than American Express. In addition to that, Roche Holding is 2.22 times more volatile than American Express. It trades about 0.02 of its total potential returns per unit of risk. American Express is currently generating about 0.13 per unit of volatility. If you would invest 19,922 in American Express on October 22, 2024 and sell it today you would earn a total of 11,334 from holding American Express or generate 56.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 99.19% |
| Values | Daily Returns |
Roche Holding AG vs. American Express
Performance |
| Timeline |
| Roche Holding AG |
| American Express |
Roche Holding and American Express Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and American Express
The main advantage of trading using opposite Roche Holding and American Express positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, American Express 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 American Express will offset losses from the drop in American Express' long position.| Roche Holding vs. Novartis AG | Roche Holding vs. AstraZeneca PLC | Roche Holding vs. Roche Holding Ltd | Roche Holding vs. Sanofi ADR |
| American Express vs. Roche Holding AG | American Express vs. Champions Oncology | American Express vs. Target 2030 Fund | American Express vs. The Monarch Cement |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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