Correlation Between Alfen Beheer and ASM International

Can any of the company-specific risk be diversified away by investing in both Alfen Beheer and ASM International 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 Alfen Beheer and ASM International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Alfen Beheer BV and ASM International NV, you can compare the effects of market volatilities on Alfen Beheer and ASM International 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 Alfen Beheer with a short position of ASM International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alfen Beheer and ASM International.

Diversification Opportunities for Alfen Beheer and ASM International

0.62

Correlation Coefficient

Alfen Beheer  ASM International

Poor diversification

The 3 months correlation between Alfen and ASM is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Alfen Beheer BV and ASM International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASM International and Alfen Beheer 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 Alfen Beheer BV are associated (or correlated) with ASM International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASM International has no effect on the direction of Alfen Beheer i.e., Alfen Beheer and ASM International go up and down completely randomly.

Pair Corralation between Alfen Beheer and ASM International

Assuming the 90 days trading horizon Alfen Beheer BV is expected to generate 1.6 times more return on investment than ASM International. However, Alfen Beheer is 1.6 times more volatile than ASM International NV. It trades about -0.01 of its potential returns per unit of risk. ASM International NV is currently generating about -0.03 per unit of risk. If you would invest  1,296  in Alfen Beheer BV on September 19, 2024 and sell it today you would lose (114.00) from holding Alfen Beheer BV or give up 8.8% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.46%
Values	Daily Returns

Alfen Beheer BV  vs.  ASM International NV

Alfen Beheer BV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Alfen Beheer BV has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Alfen Beheer is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

ASM International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ASM International NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable primary indicators, ASM International is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Alfen Beheer and ASM International

The main advantage of trading using opposite Alfen Beheer and ASM International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alfen Beheer position performs unexpectedly, ASM International 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 ASM International will offset losses from the drop in ASM International's long position.

The idea behind Alfen Beheer BV and ASM International NV pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.