Correlation Between AB Sagax and Fabege AB
Can any of the company-specific risk be diversified away by investing in both AB Sagax and Fabege AB 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 AB Sagax and Fabege AB into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AB Sagax and Fabege AB, you can compare the effects of market volatilities on AB Sagax and Fabege AB 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 AB Sagax with a short position of Fabege AB. Check out your portfolio center. Please also check ongoing floating volatility patterns of AB Sagax and Fabege AB.
Diversification Opportunities for AB Sagax and Fabege AB
Almost no diversification
The 3 months correlation between SAGA-B and Fabege is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding AB Sagax and Fabege AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fabege AB and AB Sagax 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 AB Sagax are associated (or correlated) with Fabege AB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fabege AB has no effect on the direction of AB Sagax i.e., AB Sagax and Fabege AB go up and down completely randomly.
Pair Corralation between AB Sagax and Fabege AB
Assuming the 90 days trading horizon AB Sagax is expected to generate 1.07 times less return on investment than Fabege AB. But when comparing it to its historical volatility, AB Sagax is 1.09 times less risky than Fabege AB. It trades about 0.0 of its potential returns per unit of risk. Fabege AB is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 8,958 in Fabege AB on August 28, 2024 and sell it today you would lose (598.00) from holding Fabege AB or give up 6.68% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AB Sagax vs. Fabege AB
Performance |
| Timeline |
| AB Sagax |
| Fabege AB |
AB Sagax and Fabege AB Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AB Sagax and Fabege AB
The main advantage of trading using opposite AB Sagax and Fabege AB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AB Sagax position performs unexpectedly, Fabege AB 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 Fabege AB will offset losses from the drop in Fabege AB's long position.| AB Sagax vs. Fastighets AB Balder | AB Sagax vs. Nyfosa AB | AB Sagax vs. Dios Fastigheter AB | AB Sagax vs. Atrium Ljungberg AB |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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