Correlation Between Schweizerische Nationalbank and Holcim AG
Can any of the company-specific risk be diversified away by investing in both Schweizerische Nationalbank and Holcim AG 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 Schweizerische Nationalbank and Holcim AG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Schweizerische Nationalbank and Holcim AG, you can compare the effects of market volatilities on Schweizerische Nationalbank and Holcim AG 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 Schweizerische Nationalbank with a short position of Holcim AG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Schweizerische Nationalbank and Holcim AG.
Diversification Opportunities for Schweizerische Nationalbank and Holcim AG
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Schweizerische and Holcim is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Schweizerische Nationalbank and Holcim AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Holcim AG and Schweizerische Nationalbank 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 Schweizerische Nationalbank are associated (or correlated) with Holcim AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Holcim AG has no effect on the direction of Schweizerische Nationalbank i.e., Schweizerische Nationalbank and Holcim AG go up and down completely randomly.
Pair Corralation between Schweizerische Nationalbank and Holcim AG
Assuming the 90 days trading horizon Schweizerische Nationalbank is expected to under-perform the Holcim AG. In addition to that, Schweizerische Nationalbank is 1.16 times more volatile than Holcim AG. It trades about -0.16 of its total potential returns per unit of risk. Holcim AG is currently generating about 0.15 per unit of volatility. If you would invest 8,594 in Holcim AG on August 31, 2024 and sell it today you would earn a total of 334.00 from holding Holcim AG or generate 3.89% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Schweizerische Nationalbank vs. Holcim AG
Performance |
| Timeline |
| Schweizerische Nationalbank |
| Holcim AG |
Schweizerische Nationalbank and Holcim AG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Schweizerische Nationalbank and Holcim AG
The main advantage of trading using opposite Schweizerische Nationalbank and Holcim AG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Schweizerische Nationalbank position performs unexpectedly, Holcim AG 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 Holcim AG will offset losses from the drop in Holcim AG's long position.The idea behind Schweizerische Nationalbank and Holcim AG 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.
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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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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