Correlation Between Warehouses and Immobel
Can any of the company-specific risk be diversified away by investing in both Warehouses and Immobel 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 Warehouses and Immobel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Warehouses de Pauw and Immobel, you can compare the effects of market volatilities on Warehouses and Immobel 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 Warehouses with a short position of Immobel. Check out your portfolio center. Please also check ongoing floating volatility patterns of Warehouses and Immobel.
Diversification Opportunities for Warehouses and Immobel
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Warehouses and Immobel is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Warehouses de Pauw and Immobel in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immobel and Warehouses 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 Warehouses de Pauw are associated (or correlated) with Immobel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immobel has no effect on the direction of Warehouses i.e., Warehouses and Immobel go up and down completely randomly.
Pair Corralation between Warehouses and Immobel
Assuming the 90 days trading horizon Warehouses de Pauw is expected to generate 0.73 times more return on investment than Immobel. However, Warehouses de Pauw is 1.36 times less risky than Immobel. It trades about -0.13 of its potential returns per unit of risk. Immobel is currently generating about -0.18 per unit of risk. If you would invest 2,698 in Warehouses de Pauw on September 1, 2024 and sell it today you would lose (606.00) from holding Warehouses de Pauw or give up 22.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Warehouses de Pauw vs. Immobel
Performance |
| Timeline |
| Warehouses de Pauw |
| Immobel |
Warehouses and Immobel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Warehouses and Immobel
The main advantage of trading using opposite Warehouses and Immobel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Warehouses position performs unexpectedly, Immobel 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 Immobel will offset losses from the drop in Immobel's long position.| Warehouses vs. Aedifica | Warehouses vs. Cofinimmo SA | Warehouses vs. VGP NV | Warehouses vs. Sofina Socit Anonyme |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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