Correlation Between Marriott International and Thyssenkrupp
Can any of the company-specific risk be diversified away by investing in both Marriott International and Thyssenkrupp 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 Marriott International and Thyssenkrupp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Marriott International and thyssenkrupp AG, you can compare the effects of market volatilities on Marriott International and Thyssenkrupp 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 Marriott International with a short position of Thyssenkrupp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Marriott International and Thyssenkrupp.
Diversification Opportunities for Marriott International and Thyssenkrupp
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Marriott and Thyssenkrupp is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Marriott International and thyssenkrupp AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on thyssenkrupp AG and Marriott International 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 Marriott International are associated (or correlated) with Thyssenkrupp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of thyssenkrupp AG has no effect on the direction of Marriott International i.e., Marriott International and Thyssenkrupp go up and down completely randomly.
Pair Corralation between Marriott International and Thyssenkrupp
Assuming the 90 days horizon Marriott International is expected to under-perform the Thyssenkrupp. But the stock apears to be less risky and, when comparing its historical volatility, Marriott International is 1.18 times less risky than Thyssenkrupp. The stock trades about -0.11 of its potential returns per unit of risk. The thyssenkrupp AG is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 388.00 in thyssenkrupp AG on September 25, 2024 and sell it today you would earn a total of 2.00 from holding thyssenkrupp AG or generate 0.52% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 95.45% |
Values | Daily Returns |
Marriott International vs. thyssenkrupp AG
Performance |
Timeline |
Marriott International |
thyssenkrupp AG |
Marriott International and Thyssenkrupp Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Marriott International and Thyssenkrupp
The main advantage of trading using opposite Marriott International and Thyssenkrupp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Marriott International position performs unexpectedly, Thyssenkrupp 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 Thyssenkrupp will offset losses from the drop in Thyssenkrupp's long position.Marriott International vs. Federal Agricultural Mortgage | Marriott International vs. Magnachip Semiconductor | Marriott International vs. Titan Machinery | Marriott International vs. MCEWEN MINING INC |
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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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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