Correlation Between BEKA LUX and Algebris UCITS

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

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

Diversification Opportunities for BEKA LUX and Algebris UCITS

0.14

Correlation Coefficient

BEKA LUX  Algebris UCITS

Average diversification

The 3 months correlation between BEKA and Algebris is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding BEKA LUX SICAV 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 BEKA LUX 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 BEKA LUX SICAV 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 BEKA LUX i.e., BEKA LUX and Algebris UCITS go up and down completely randomly.

Pair Corralation between BEKA LUX and Algebris UCITS

Assuming the 90 days trading horizon BEKA LUX is expected to generate 6.12 times less return on investment than Algebris UCITS. But when comparing it to its historical volatility, BEKA LUX SICAV is 1.02 times less risky than Algebris UCITS. It trades about 0.02 of its potential returns per unit of risk. Algebris UCITS Funds is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  12,427  in Algebris UCITS Funds on September 22, 2024 and sell it today you would earn a total of  2,503  from holding Algebris UCITS Funds or generate 20.14% return on investment over 90 days.

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

BEKA LUX SICAV  vs.  Algebris UCITS Funds

BEKA LUX SICAV

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in BEKA LUX SICAV are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of very healthy basic indicators, BEKA LUX is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Algebris UCITS Funds

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 7 (%) 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 BEKA LUX and Algebris UCITS

The main advantage of trading using opposite BEKA LUX and Algebris UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BEKA LUX 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 BEKA LUX SICAV 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.

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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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.