Correlation Between Julius Baer and Swiss Life

Can any of the company-specific risk be diversified away by investing in both Julius Baer and Swiss Life 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 Swiss Life 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 Swiss Life Holding, you can compare the effects of market volatilities on Julius Baer and Swiss Life 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 Swiss Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of Julius Baer and Swiss Life.

Diversification Opportunities for Julius Baer and Swiss Life

-0.32

Correlation Coefficient

Julius Baer  Swiss Life

Very good diversification

The 3 months correlation between Julius and Swiss is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding Julius Baer Gruppe and Swiss Life Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swiss Life Holding 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 Swiss Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Life Holding has no effect on the direction of Julius Baer i.e., Julius Baer and Swiss Life go up and down completely randomly.

Pair Corralation between Julius Baer and Swiss Life

Assuming the 90 days trading horizon Julius Baer Gruppe is expected to under-perform the Swiss Life. But the stock apears to be less risky and, when comparing its historical volatility, Julius Baer Gruppe is 1.04 times less risky than Swiss Life. The stock trades about -0.01 of its potential returns per unit of risk. The Swiss Life Holding is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest  68,900  in Swiss Life Holding on October 9, 2024 and sell it today you would earn a total of  2,380  from holding Swiss Life Holding or generate 3.45% return on investment over 90 days.

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

Julius Baer Gruppe  vs.  Swiss Life Holding

Julius Baer Gruppe

Risk-Adjusted Performance

0 of 100

OK

Over the last 90 days Julius Baer Gruppe has generated negative risk-adjusted returns adding no value to investors with long positions. 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.

Swiss Life Holding

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days Swiss Life Holding has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable basic indicators, Swiss Life 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 Julius Baer and Swiss Life

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

The idea behind Julius Baer Gruppe and Swiss Life Holding 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.