Correlation Between NMI Holdings and S A P
Can any of the company-specific risk be diversified away by investing in both NMI Holdings and S A P 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 NMI Holdings and S A P into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NMI Holdings and SAP SE, you can compare the effects of market volatilities on NMI Holdings and S A P 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 NMI Holdings with a short position of S A P. Check out your portfolio center. Please also check ongoing floating volatility patterns of NMI Holdings and S A P.
Diversification Opportunities for NMI Holdings and S A P
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between NMI and SAP is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding NMI Holdings and SAP SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAP SE and NMI Holdings 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 NMI Holdings are associated (or correlated) with S A P. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAP SE has no effect on the direction of NMI Holdings i.e., NMI Holdings and S A P go up and down completely randomly.
Pair Corralation between NMI Holdings and S A P
Assuming the 90 days horizon NMI Holdings is expected to generate 1.33 times less return on investment than S A P. In addition to that, NMI Holdings is 1.12 times more volatile than SAP SE. It trades about 0.11 of its total potential returns per unit of risk. SAP SE is currently generating about 0.16 per unit of volatility. If you would invest 16,826 in SAP SE on September 1, 2024 and sell it today you would earn a total of 5,664 from holding SAP SE or generate 33.66% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
NMI Holdings vs. SAP SE
Performance |
Timeline |
NMI Holdings |
SAP SE |
NMI Holdings and S A P Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with NMI Holdings and S A P
The main advantage of trading using opposite NMI Holdings and S A P positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NMI Holdings position performs unexpectedly, S A P 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 S A P will offset losses from the drop in S A P's long position.NMI Holdings vs. KIMBALL ELECTRONICS | NMI Holdings vs. UET United Electronic | NMI Holdings vs. BYD ELECTRONIC | NMI Holdings vs. Benchmark Electronics |
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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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