Correlation Between Securitas and Allegion Plc
Can any of the company-specific risk be diversified away by investing in both Securitas and Allegion Plc 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 Securitas and Allegion Plc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Securitas AB and Allegion plc, you can compare the effects of market volatilities on Securitas and Allegion Plc 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 Securitas with a short position of Allegion Plc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Securitas and Allegion Plc.
Diversification Opportunities for Securitas and Allegion Plc
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Securitas and Allegion is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Securitas AB and Allegion plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allegion plc and Securitas 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 Securitas AB are associated (or correlated) with Allegion Plc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allegion plc has no effect on the direction of Securitas i.e., Securitas and Allegion Plc go up and down completely randomly.
Pair Corralation between Securitas and Allegion Plc
Assuming the 90 days trading horizon Securitas AB is expected to generate 0.83 times more return on investment than Allegion Plc. However, Securitas AB is 1.21 times less risky than Allegion Plc. It trades about 0.13 of its potential returns per unit of risk. Allegion plc is currently generating about -0.15 per unit of risk. If you would invest 1,166 in Securitas AB on September 28, 2024 and sell it today you would earn a total of 36.00 from holding Securitas AB or generate 3.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Securitas AB vs. Allegion plc
Performance |
| Timeline |
| Securitas AB |
| Allegion plc |
Securitas and Allegion Plc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Securitas and Allegion Plc
The main advantage of trading using opposite Securitas and Allegion Plc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Securitas position performs unexpectedly, Allegion Plc 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 Allegion Plc will offset losses from the drop in Allegion Plc's long position.| Securitas vs. DATAGROUP SE | Securitas vs. LION ONE METALS | Securitas vs. Harmony Gold Mining | Securitas vs. INFORMATION SVC GRP |
| Allegion Plc vs. ABB PAR AB | Allegion Plc vs. ASSA ABLOY AB | Allegion Plc vs. SECOM LTD | Allegion Plc vs. Halma plc |
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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