Correlation Between SYSTEMAIR and Allstate

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

By analyzing existing cross correlation between SYSTEMAIR AB and The Allstate, you can compare the effects of market volatilities on SYSTEMAIR and Allstate 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 SYSTEMAIR with a short position of Allstate. Check out your portfolio center. Please also check ongoing floating volatility patterns of SYSTEMAIR and Allstate.

Diversification Opportunities for SYSTEMAIR and Allstate

0.75

Correlation Coefficient

SYSTEMAIR  Allstate

Poor diversification

The 3 months correlation between SYSTEMAIR and Allstate is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SYSTEMAIR AB and The Allstate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allstate and SYSTEMAIR 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 SYSTEMAIR AB are associated (or correlated) with Allstate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allstate has no effect on the direction of SYSTEMAIR i.e., SYSTEMAIR and Allstate go up and down completely randomly.

Pair Corralation between SYSTEMAIR and Allstate

Assuming the 90 days trading horizon SYSTEMAIR is expected to generate 2.79 times less return on investment than Allstate. In addition to that, SYSTEMAIR is 1.34 times more volatile than The Allstate. It trades about 0.01 of its total potential returns per unit of risk. The Allstate is currently generating about 0.05 per unit of volatility. If you would invest  17,637  in The Allstate on October 23, 2024 and sell it today you would earn a total of  858.00  from holding The Allstate or generate 4.86% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.33%
Values	Daily Returns

SYSTEMAIR AB  vs.  The Allstate

SYSTEMAIR AB

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in SYSTEMAIR AB are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, SYSTEMAIR is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Allstate

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in The Allstate are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Allstate is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with SYSTEMAIR and Allstate

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

The idea behind SYSTEMAIR AB and The Allstate 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.