Correlation Between Roche Holding and Grupo Sports
Can any of the company-specific risk be diversified away by investing in both Roche Holding and Grupo Sports 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 Grupo Sports 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 Grupo Sports World, you can compare the effects of market volatilities on Roche Holding and Grupo Sports 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 Grupo Sports. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Grupo Sports.
Diversification Opportunities for Roche Holding and Grupo Sports
-0.15 | Correlation Coefficient |
Good diversification
The 3 months correlation between Roche and Grupo is -0.15. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Grupo Sports World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grupo Sports World 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 Grupo Sports. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grupo Sports World has no effect on the direction of Roche Holding i.e., Roche Holding and Grupo Sports go up and down completely randomly.
Pair Corralation between Roche Holding and Grupo Sports
Assuming the 90 days trading horizon Roche Holding AG is expected to generate 1.59 times more return on investment than Grupo Sports. However, Roche Holding is 1.59 times more volatile than Grupo Sports World. It trades about 0.29 of its potential returns per unit of risk. Grupo Sports World is currently generating about -0.34 per unit of risk. If you would invest 560,922 in Roche Holding AG on October 20, 2024 and sell it today you would earn a total of 53,078 from holding Roche Holding AG or generate 9.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Roche Holding AG vs. Grupo Sports World
Performance |
| Timeline |
| Roche Holding AG |
| Grupo Sports World |
Roche Holding and Grupo Sports Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Roche Holding and Grupo Sports
The main advantage of trading using opposite Roche Holding and Grupo Sports positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Roche Holding position performs unexpectedly, Grupo Sports 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 Grupo Sports will offset losses from the drop in Grupo Sports' long position.| Roche Holding vs. Grupo Sports World | Roche Holding vs. Micron Technology | Roche Holding vs. United Airlines Holdings | Roche Holding vs. Grupo Hotelero Santa |
| Grupo Sports vs. Cognizant Technology Solutions | Grupo Sports vs. The Home Depot | Grupo Sports vs. Verizon Communications | Grupo Sports vs. United Airlines Holdings |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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