Correlation Between Roche Holding and Bergbahnen Engelberg

Can any of the company-specific risk be diversified away by investing in both Roche Holding and Bergbahnen Engelberg 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 Roche Holding and Bergbahnen Engelberg into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Roche Holding AG and Bergbahnen Engelberg Truebsee, you can compare the effects of market volatilities on Roche Holding and Bergbahnen Engelberg 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 Roche Holding with a short position of Bergbahnen Engelberg. Check out your portfolio center. Please also check ongoing floating volatility patterns of Roche Holding and Bergbahnen Engelberg.

Diversification Opportunities for Roche Holding and Bergbahnen Engelberg

0.8

Correlation Coefficient

Roche Holding  Bergbahnen Engelberg

Very poor diversification

The 3 months correlation between Roche and Bergbahnen is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Roche Holding AG and Bergbahnen Engelberg Truebsee in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bergbahnen Engelberg and Roche Holding 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 Roche Holding AG are associated (or correlated) with Bergbahnen Engelberg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bergbahnen Engelberg has no effect on the direction of Roche Holding i.e., Roche Holding and Bergbahnen Engelberg go up and down completely randomly.

Pair Corralation between Roche Holding and Bergbahnen Engelberg

Assuming the 90 days trading horizon Roche Holding AG is expected to generate 1.34 times more return on investment than Bergbahnen Engelberg. However, Roche Holding is 1.34 times more volatile than Bergbahnen Engelberg Truebsee. It trades about -0.06 of its potential returns per unit of risk. Bergbahnen Engelberg Truebsee is currently generating about -0.14 per unit of risk. If you would invest  26,560  in Roche Holding AG on September 13, 2024 and sell it today you would lose (970.00) from holding Roche Holding AG or give up 3.65% of portfolio value over 90 days.

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

Roche Holding AG  vs.  Bergbahnen Engelberg Truebsee

Roche Holding AG

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Roche Holding AG has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable technical and fundamental indicators, Roche Holding is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Bergbahnen Engelberg

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bergbahnen Engelberg Truebsee has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest abnormal performance, the Stock's basic indicators remain stable and the latest fuss on Wall Street may also be a sign of long-term gains for the venture sophisticated investors.

Pair Trading with Roche Holding and Bergbahnen Engelberg

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

The idea behind Roche Holding AG and Bergbahnen Engelberg Truebsee 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..