Correlation Between Wallenstam and AB Sagax
Can any of the company-specific risk be diversified away by investing in both Wallenstam and AB Sagax 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 Wallenstam and AB Sagax into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wallenstam AB and AB Sagax, you can compare the effects of market volatilities on Wallenstam and AB Sagax 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 Wallenstam with a short position of AB Sagax. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wallenstam and AB Sagax.
Diversification Opportunities for Wallenstam and AB Sagax
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Wallenstam and SAGA-B is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Wallenstam AB and AB Sagax in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AB Sagax and Wallenstam 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 Wallenstam AB are associated (or correlated) with AB Sagax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AB Sagax has no effect on the direction of Wallenstam i.e., Wallenstam and AB Sagax go up and down completely randomly.
Pair Corralation between Wallenstam and AB Sagax
Assuming the 90 days trading horizon Wallenstam AB is expected to generate 1.02 times more return on investment than AB Sagax. However, Wallenstam is 1.02 times more volatile than AB Sagax. It trades about -0.16 of its potential returns per unit of risk. AB Sagax is currently generating about -0.34 per unit of risk. If you would invest 5,300 in Wallenstam AB on August 28, 2024 and sell it today you would lose (280.00) from holding Wallenstam AB or give up 5.28% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wallenstam AB vs. AB Sagax
Performance |
| Timeline |
| Wallenstam AB |
| AB Sagax |
Wallenstam and AB Sagax Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wallenstam and AB Sagax
The main advantage of trading using opposite Wallenstam and AB Sagax positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wallenstam position performs unexpectedly, AB Sagax 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 AB Sagax will offset losses from the drop in AB Sagax's long position.| Wallenstam vs. Hufvudstaden AB | Wallenstam vs. Fabege AB | Wallenstam vs. Wihlborgs Fastigheter AB | Wallenstam vs. Fastighets AB Balder |
| AB Sagax vs. Fastighets AB Balder | AB Sagax vs. Nyfosa AB | AB Sagax vs. Dios Fastigheter AB | AB Sagax vs. Atrium Ljungberg AB |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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