Correlation Between Swiss Life and Roche Holding

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

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

Diversification Opportunities for Swiss Life and Roche Holding

0.18

Correlation Coefficient

Swiss Life  Roche Holding

Average diversification

The 3 months correlation between Swiss and Roche is 0.18. Overlapping area represents the amount of risk that can be diversified away by holding Swiss Life Holding and Roche Holding AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Roche Holding AG and Swiss Life 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 Swiss Life Holding 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 AG has no effect on the direction of Swiss Life i.e., Swiss Life and Roche Holding go up and down completely randomly.

Pair Corralation between Swiss Life and Roche Holding

Assuming the 90 days trading horizon Swiss Life Holding is expected to generate 0.72 times more return on investment than Roche Holding. However, Swiss Life Holding is 1.38 times less risky than Roche Holding. It trades about 0.21 of its potential returns per unit of risk. Roche Holding AG is currently generating about -0.04 per unit of risk. If you would invest  76,543  in Swiss Life Holding on April 24, 2025 and sell it today you would earn a total of  7,457  from holding Swiss Life Holding or generate 9.74% return on investment over 90 days.

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

Swiss Life Holding  vs.  Roche Holding AG

Swiss Life Holding

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Swiss Life Holding are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal basic indicators, Swiss Life may actually be approaching a critical reversion point that can send shares even higher in August 2025.

Roche Holding AG

Risk-Adjusted Performance

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.

Pair Trading with Swiss Life and Roche Holding

The main advantage of trading using opposite Swiss Life and Roche Holding positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swiss Life 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.

The idea behind Swiss Life Holding and Roche Holding AG 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.