Correlation Between VAT Group and Emmi AG
Can any of the company-specific risk be diversified away by investing in both VAT Group and Emmi 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 VAT Group and Emmi AG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between VAT Group AG and Emmi AG, you can compare the effects of market volatilities on VAT Group and Emmi 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 VAT Group with a short position of Emmi AG. Check out your portfolio center. Please also check ongoing floating volatility patterns of VAT Group and Emmi AG.
Diversification Opportunities for VAT Group and Emmi AG
Poor diversification
The 3 months correlation between VAT and Emmi is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding VAT Group AG and Emmi AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Emmi AG and VAT Group 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 VAT Group AG are associated (or correlated) with Emmi AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Emmi AG has no effect on the direction of VAT Group i.e., VAT Group and Emmi AG go up and down completely randomly.
Pair Corralation between VAT Group and Emmi AG
Assuming the 90 days trading horizon VAT Group AG is expected to generate 1.38 times more return on investment than Emmi AG. However, VAT Group is 1.38 times more volatile than Emmi AG. It trades about -0.17 of its potential returns per unit of risk. Emmi AG is currently generating about -0.33 per unit of risk. If you would invest 36,900 in VAT Group AG on August 29, 2024 and sell it today you would lose (2,180) from holding VAT Group AG or give up 5.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
VAT Group AG vs. Emmi AG
Performance |
| Timeline |
| VAT Group AG |
| Emmi AG |
VAT Group and Emmi AG Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with VAT Group and Emmi AG
The main advantage of trading using opposite VAT Group and Emmi AG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if VAT Group position performs unexpectedly, Emmi 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 Emmi AG will offset losses from the drop in Emmi AG's long position.| VAT Group vs. Interroll Holding AG | VAT Group vs. Comet Holding AG | VAT Group vs. Bossard Holding AG | VAT Group vs. Komax Holding AG |
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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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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