Correlation Between Swedbank and Commerzbank
Can any of the company-specific risk be diversified away by investing in both Swedbank and Commerzbank 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 Swedbank and Commerzbank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Swedbank AB and Commerzbank AG PK, you can compare the effects of market volatilities on Swedbank and Commerzbank 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 Swedbank with a short position of Commerzbank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swedbank and Commerzbank.
Diversification Opportunities for Swedbank and Commerzbank
-0.42 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Swedbank and Commerzbank is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Swedbank AB and Commerzbank AG PK in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Commerzbank AG PK and Swedbank 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 Swedbank AB are associated (or correlated) with Commerzbank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Commerzbank AG PK has no effect on the direction of Swedbank i.e., Swedbank and Commerzbank go up and down completely randomly.
Pair Corralation between Swedbank and Commerzbank
Assuming the 90 days horizon Swedbank AB is expected to generate 0.91 times more return on investment than Commerzbank. However, Swedbank AB is 1.1 times less risky than Commerzbank. It trades about -0.15 of its potential returns per unit of risk. Commerzbank AG PK is currently generating about -0.2 per unit of risk. If you would invest 2,062 in Swedbank AB on August 24, 2024 and sell it today you would lose (103.00) from holding Swedbank AB or give up 5.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Swedbank AB vs. Commerzbank AG PK
Performance |
| Timeline |
| Swedbank AB |
| Commerzbank AG PK |
Swedbank and Commerzbank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Swedbank and Commerzbank
The main advantage of trading using opposite Swedbank and Commerzbank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swedbank position performs unexpectedly, Commerzbank 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 Commerzbank will offset losses from the drop in Commerzbank's long position.| Swedbank vs. Pioneer Floating Rate | Swedbank vs. The Gabelli Equity | Swedbank vs. Pioneer Municipal High | Swedbank vs. Nuveen Global High |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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