Correlation Between Sif Holding and Brunel International
Can any of the company-specific risk be diversified away by investing in both Sif Holding and Brunel International 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 Sif Holding and Brunel International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sif Holding NV and Brunel International NV, you can compare the effects of market volatilities on Sif Holding and Brunel International 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 Sif Holding with a short position of Brunel International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sif Holding and Brunel International.
Diversification Opportunities for Sif Holding and Brunel International
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Sif and Brunel is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Sif Holding NV and Brunel International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brunel International and Sif 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 Sif Holding NV are associated (or correlated) with Brunel International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brunel International has no effect on the direction of Sif Holding i.e., Sif Holding and Brunel International go up and down completely randomly.
Pair Corralation between Sif Holding and Brunel International
Assuming the 90 days trading horizon Sif Holding NV is expected to generate 1.2 times more return on investment than Brunel International. However, Sif Holding is 1.2 times more volatile than Brunel International NV. It trades about 0.03 of its potential returns per unit of risk. Brunel International NV is currently generating about -0.04 per unit of risk. If you would invest 1,100 in Sif Holding NV on September 12, 2024 and sell it today you would earn a total of 120.00 from holding Sif Holding NV or generate 10.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.7% |
| Values | Daily Returns |
Sif Holding NV vs. Brunel International NV
Performance |
| Timeline |
| Sif Holding NV |
| Brunel International |
Sif Holding and Brunel International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sif Holding and Brunel International
The main advantage of trading using opposite Sif Holding and Brunel International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sif Holding position performs unexpectedly, Brunel International 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 Brunel International will offset losses from the drop in Brunel International's long position.| Sif Holding vs. Kendrion NV | Sif Holding vs. NV Nederlandsche Apparatenfabriek | Sif Holding vs. Brunel International NV | Sif Holding vs. TKH Group NV |
| Brunel International vs. Koninklijke BAM Groep | Brunel International vs. TKH Group NV | Brunel International vs. Fugro NV | Brunel International vs. Aalberts Industries NV |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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