Correlation Between Julius Baer and EFG International

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

By analyzing existing cross correlation between Julius Baer Gruppe and EFG International AG, you can compare the effects of market volatilities on Julius Baer and EFG International 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 Julius Baer with a short position of EFG International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Julius Baer and EFG International.

Diversification Opportunities for Julius Baer and EFG International

0.7

Correlation Coefficient

Julius Baer  EFG International

Poor diversification

The 3 months correlation between Julius and EFG is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Julius Baer Gruppe and EFG International AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on EFG International and Julius Baer 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 Julius Baer Gruppe are associated (or correlated) with EFG International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EFG International has no effect on the direction of Julius Baer i.e., Julius Baer and EFG International go up and down completely randomly.

Pair Corralation between Julius Baer and EFG International

Assuming the 90 days trading horizon Julius Baer is expected to generate 1.24 times less return on investment than EFG International. But when comparing it to its historical volatility, Julius Baer Gruppe is 1.11 times less risky than EFG International. It trades about 0.27 of its potential returns per unit of risk. EFG International AG is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest  1,278  in EFG International AG on October 22, 2024 and sell it today you would earn a total of  76.00  from holding EFG International AG or generate 5.95% return on investment over 90 days.

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

Julius Baer Gruppe  vs.  EFG International AG

Julius Baer Gruppe

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Julius Baer Gruppe are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal basic indicators, Julius Baer may actually be approaching a critical reversion point that can send shares even higher in February 2025.

EFG International

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in EFG International AG are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal basic indicators, EFG International showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Julius Baer and EFG International

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

The idea behind Julius Baer Gruppe and EFG International AG 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.