Correlation Between Swiss Re and Swiss Life
Can any of the company-specific risk be diversified away by investing in both Swiss Re and Swiss Life 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 Swiss Re and Swiss Life into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Swiss Re AG and Swiss Life Holding, you can compare the effects of market volatilities on Swiss Re and Swiss Life 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 Swiss Re with a short position of Swiss Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swiss Re and Swiss Life.
Diversification Opportunities for Swiss Re and Swiss Life
0.41 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Swiss and Swiss is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Swiss Re AG and Swiss Life Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swiss Life Holding and Swiss Re 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 Swiss Re AG are associated (or correlated) with Swiss Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Life Holding has no effect on the direction of Swiss Re i.e., Swiss Re and Swiss Life go up and down completely randomly.
Pair Corralation between Swiss Re and Swiss Life
Assuming the 90 days trading horizon Swiss Re AG is expected to generate 1.28 times more return on investment than Swiss Life. However, Swiss Re is 1.28 times more volatile than Swiss Life Holding. It trades about 0.1 of its potential returns per unit of risk. Swiss Life Holding is currently generating about 0.11 per unit of risk. If you would invest 8,336 in Swiss Re AG on August 28, 2024 and sell it today you would earn a total of 4,599 from holding Swiss Re AG or generate 55.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Swiss Re AG vs. Swiss Life Holding
Performance |
| Timeline |
| Swiss Re AG |
| Swiss Life Holding |
Swiss Re and Swiss Life Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Swiss Re and Swiss Life
The main advantage of trading using opposite Swiss Re and Swiss Life positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swiss Re position performs unexpectedly, Swiss Life 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 Swiss Life will offset losses from the drop in Swiss Life's long position.| Swiss Re vs. Zurich Insurance Group | Swiss Re vs. Swiss Life Holding | Swiss Re vs. Novartis AG | Swiss Re vs. UBS Group AG |
| Swiss Life vs. Helvetia Holding AG | Swiss Life vs. Swisscom AG | Swiss Life vs. Zurich Insurance Group | Swiss Life vs. Adecco Group AG |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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