Correlation Between Siemens Energy and AURUBIS AG

Can any of the company-specific risk be diversified away by investing in both Siemens Energy and AURUBIS 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 Siemens Energy and AURUBIS AG into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Siemens Energy AG and AURUBIS AG UNSPADR, you can compare the effects of market volatilities on Siemens Energy and AURUBIS 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 Siemens Energy with a short position of AURUBIS AG. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siemens Energy and AURUBIS AG.

Diversification Opportunities for Siemens Energy and AURUBIS AG

0.79

Correlation Coefficient

Siemens Energy  AURUBIS AG

Poor diversification

The 3 months correlation between Siemens and AURUBIS is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Siemens Energy AG and AURUBIS AG UNSPADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AURUBIS AG UNSPADR and Siemens Energy 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 Siemens Energy AG are associated (or correlated) with AURUBIS AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AURUBIS AG UNSPADR has no effect on the direction of Siemens Energy i.e., Siemens Energy and AURUBIS AG go up and down completely randomly.

Pair Corralation between Siemens Energy and AURUBIS AG

Assuming the 90 days trading horizon Siemens Energy AG is expected to generate 0.86 times more return on investment than AURUBIS AG. However, Siemens Energy AG is 1.16 times less risky than AURUBIS AG. It trades about 0.07 of its potential returns per unit of risk. AURUBIS AG UNSPADR is currently generating about 0.05 per unit of risk. If you would invest  4,925  in Siemens Energy AG on September 24, 2024 and sell it today you would earn a total of  145.00  from holding Siemens Energy AG or generate 2.94% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Siemens Energy AG  vs.  AURUBIS AG UNSPADR

Siemens Energy AG

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Siemens Energy AG are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively fragile basic indicators, Siemens Energy unveiled solid returns over the last few months and may actually be approaching a breakup point.

AURUBIS AG UNSPADR

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in AURUBIS AG UNSPADR are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, AURUBIS AG reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Siemens Energy and AURUBIS AG

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

The idea behind Siemens Energy AG and AURUBIS AG UNSPADR 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.