Correlation Between Sampo OYJ and Allianz SE
Can any of the company-specific risk be diversified away by investing in both Sampo OYJ and Allianz SE 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 Sampo OYJ and Allianz SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sampo OYJ and Allianz SE, you can compare the effects of market volatilities on Sampo OYJ and Allianz SE 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 Sampo OYJ with a short position of Allianz SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampo OYJ and Allianz SE.
Diversification Opportunities for Sampo OYJ and Allianz SE
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sampo and Allianz is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Sampo OYJ and Allianz SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allianz SE and Sampo OYJ 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 Sampo OYJ are associated (or correlated) with Allianz SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allianz SE has no effect on the direction of Sampo OYJ i.e., Sampo OYJ and Allianz SE go up and down completely randomly.
Pair Corralation between Sampo OYJ and Allianz SE
Assuming the 90 days horizon Sampo OYJ is expected to under-perform the Allianz SE. But the pink sheet apears to be less risky and, when comparing its historical volatility, Sampo OYJ is 2.35 times less risky than Allianz SE. The pink sheet trades about -0.38 of its potential returns per unit of risk. The Allianz SE is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 31,084 in Allianz SE on August 28, 2024 and sell it today you would lose (298.00) from holding Allianz SE or give up 0.96% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sampo OYJ vs. Allianz SE
Performance |
| Timeline |
| Sampo OYJ |
| Allianz SE |
Sampo OYJ and Allianz SE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampo OYJ and Allianz SE
The main advantage of trading using opposite Sampo OYJ and Allianz SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampo OYJ position performs unexpectedly, Allianz SE 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 Allianz SE will offset losses from the drop in Allianz SE's long position.The idea behind Sampo OYJ and Allianz SE pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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