Correlation Between Brunel International and Sif Holding

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

By analyzing existing cross correlation between Brunel International NV and Sif Holding NV, you can compare the effects of market volatilities on Brunel International and Sif Holding 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 Brunel International with a short position of Sif Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brunel International and Sif Holding.

Diversification Opportunities for Brunel International and Sif Holding

-0.66

Correlation Coefficient

Brunel International  Sif Holding

Excellent diversification

The 3 months correlation between Brunel and Sif is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Brunel International NV and Sif Holding NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sif Holding NV and Brunel International 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 Brunel International NV are associated (or correlated) with Sif Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sif Holding NV has no effect on the direction of Brunel International i.e., Brunel International and Sif Holding go up and down completely randomly.

Pair Corralation between Brunel International and Sif Holding

Assuming the 90 days trading horizon Brunel International NV is expected to generate 0.65 times more return on investment than Sif Holding. However, Brunel International NV is 1.55 times less risky than Sif Holding. It trades about 0.15 of its potential returns per unit of risk. Sif Holding NV is currently generating about -0.16 per unit of risk. If you would invest  890.00  in Brunel International NV on December 29, 2024 and sell it today you would earn a total of  156.00  from holding Brunel International NV or generate 17.53% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.46%
Values	Daily Returns

Brunel International NV  vs.  Sif Holding NV

Brunel International

Risk-Adjusted Performance

Good

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

Sif Holding NV

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sif Holding NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in April 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Pair Trading with Brunel International and Sif Holding

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

The idea behind Brunel International NV and Sif Holding NV 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.