Correlation Between Swedbank Robur and Algebris UCITS

Can any of the company-specific risk be diversified away by investing in both Swedbank Robur and Algebris UCITS 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 Swedbank Robur and Algebris UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Swedbank Robur Corporate and Algebris UCITS Funds, you can compare the effects of market volatilities on Swedbank Robur and Algebris UCITS 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 Swedbank Robur with a short position of Algebris UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swedbank Robur and Algebris UCITS.

Diversification Opportunities for Swedbank Robur and Algebris UCITS

0.3

Correlation Coefficient

Swedbank Robur  Algebris UCITS

Weak diversification

The 3 months correlation between Swedbank and Algebris is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Swedbank Robur Corporate and Algebris UCITS Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Algebris UCITS Funds and Swedbank Robur 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 Swedbank Robur Corporate are associated (or correlated) with Algebris UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Algebris UCITS Funds has no effect on the direction of Swedbank Robur i.e., Swedbank Robur and Algebris UCITS go up and down completely randomly.

Pair Corralation between Swedbank Robur and Algebris UCITS

Assuming the 90 days trading horizon Swedbank Robur is expected to generate 11.28 times less return on investment than Algebris UCITS. In addition to that, Swedbank Robur is 1.81 times more volatile than Algebris UCITS Funds. It trades about 0.01 of its total potential returns per unit of risk. Algebris UCITS Funds is currently generating about 0.17 per unit of volatility. If you would invest  14,935  in Algebris UCITS Funds on December 29, 2024 and sell it today you would earn a total of  192.00  from holding Algebris UCITS Funds or generate 1.29% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Swedbank Robur Corporate  vs.  Algebris UCITS Funds

Swedbank Robur Corporate

Risk-Adjusted Performance

Very Weak

Over the last 90 days Swedbank Robur Corporate has generated negative risk-adjusted returns adding no value to fund investors. In spite of very healthy basic indicators, Swedbank Robur is not utilizing all of its potentials. The new stock price disarray, may contribute to short-term losses for the investors.

Algebris UCITS Funds

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Algebris UCITS is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Swedbank Robur and Algebris UCITS

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

The idea behind Swedbank Robur Corporate and Algebris UCITS Funds 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.

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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.