Correlation Between American Express and Roche Holding
Can any of the company-specific risk be diversified away by investing in both American Express and Roche Holding 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 American Express and Roche Holding into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between American Express and Roche Holding Ltd, you can compare the effects of market volatilities on American Express and Roche Holding 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 American Express with a short position of Roche Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of American Express and Roche Holding.
Diversification Opportunities for American Express and Roche Holding
-0.4 | Correlation Coefficient |
Very good diversification
The 3 months correlation between American and Roche is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding American Express and Roche Holding Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Roche Holding and American Express 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 American Express are associated (or correlated) with Roche Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Roche Holding has no effect on the direction of American Express i.e., American Express and Roche Holding go up and down completely randomly.
Pair Corralation between American Express and Roche Holding
Considering the 90-day investment horizon American Express is expected to generate 1.41 times more return on investment than Roche Holding. However, American Express is 1.41 times more volatile than Roche Holding Ltd. It trades about 0.11 of its potential returns per unit of risk. Roche Holding Ltd is currently generating about -0.05 per unit of risk. If you would invest 22,246 in American Express on February 5, 2024 and sell it today you would earn a total of 831.00 from holding American Express or generate 3.74% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
American Express vs. Roche Holding Ltd
Performance |
Timeline |
American Express |
Roche Holding |
American Express and Roche Holding Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with American Express and Roche Holding
The main advantage of trading using opposite American Express and Roche Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if American Express position performs unexpectedly, Roche Holding 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 Roche Holding will offset losses from the drop in Roche Holding's long position.American Express vs. Visa Class A | American Express vs. PayPal Holdings | American Express vs. Capital One Financial | American Express vs. Upstart HoldingsInc |
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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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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