Correlation Between Arbonia AG and SIG Combibloc

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

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

Diversification Opportunities for Arbonia AG and SIG Combibloc

0.68

Correlation Coefficient

Arbonia AG  SIG Combibloc

Poor diversification

The 3 months correlation between Arbonia and SIG is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Arbonia AG and SIG Combibloc Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SIG Combibloc Group and Arbonia AG 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 Arbonia AG are associated (or correlated) with SIG Combibloc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SIG Combibloc Group has no effect on the direction of Arbonia AG i.e., Arbonia AG and SIG Combibloc go up and down completely randomly.

Pair Corralation between Arbonia AG and SIG Combibloc

Assuming the 90 days trading horizon Arbonia AG is expected to generate 1.07 times more return on investment than SIG Combibloc. However, Arbonia AG is 1.07 times more volatile than SIG Combibloc Group. It trades about 0.01 of its potential returns per unit of risk. SIG Combibloc Group is currently generating about -0.03 per unit of risk. If you would invest  1,118  in Arbonia AG on December 30, 2024 and sell it today you would lose (2.00) from holding Arbonia AG or give up 0.18% of portfolio value over 90 days.

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

Arbonia AG  vs.  SIG Combibloc Group

Arbonia AG

Risk-Adjusted Performance

Very Weak

Over the last 90 days Arbonia AG has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, Arbonia AG is not utilizing all of its potentials. The current stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

SIG Combibloc Group

Risk-Adjusted Performance

Very Weak

Over the last 90 days SIG Combibloc Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, SIG Combibloc 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 Arbonia AG and SIG Combibloc

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

The idea behind Arbonia AG and SIG Combibloc Group 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.