Correlation Between Roche Holding and Swiss Life
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Swiss Life 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 Swiss Life 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 Swiss Life Holding, you can compare the effects of market volatilities on Roche Holding and Swiss Life 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 Swiss Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Swiss Life.
Diversification Opportunities for Roche Holding and Swiss Life
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Roche and Swiss is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Swiss Life Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swiss Life Holding 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 Swiss Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Life Holding has no effect on the direction of Roche Holding i.e., Roche Holding and Swiss Life go up and down completely randomly.
Pair Corralation between Roche Holding and Swiss Life
Assuming the 90 days trading horizon Roche Holding AG is expected to under-perform the Swiss Life. In addition to that, Roche Holding is 1.17 times more volatile than Swiss Life Holding. It trades about -0.34 of its total potential returns per unit of risk. Swiss Life Holding is currently generating about 0.03 per unit of volatility. If you would invest 71,760 in Swiss Life Holding on August 30, 2024 and sell it today you would earn a total of 400.00 from holding Swiss Life Holding or generate 0.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Roche Holding AG vs. Swiss Life Holding
Performance |
| Timeline |
| Roche Holding AG |
| Swiss Life Holding |
Roche Holding and Swiss Life Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Swiss Life
The main advantage of trading using opposite Roche Holding and Swiss Life positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Swiss Life 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 Swiss Life will offset losses from the drop in Swiss Life's long position.| Roche Holding vs. Nestl SA | Roche Holding vs. Zurich Insurance Group | Roche Holding vs. Swiss Re AG | Roche Holding vs. UBS Group AG |
| Swiss Life vs. Swiss Re AG | Swiss Life vs. Novartis AG | Swiss Life vs. UBS Group AG | Swiss Life vs. Roche Holding 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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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