Correlation Between Erste Group and Julius Bär

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

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

Diversification Opportunities for Erste Group and Julius Bär

0.48

Correlation Coefficient

Erste Group  Julius Bär

Very weak diversification

The 3 months correlation between Erste and Julius is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Erste Group Bank and Julius Br Gruppe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Julius Br Gruppe and Erste Group 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 Erste Group Bank are associated (or correlated) with Julius Bär. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Julius Br Gruppe has no effect on the direction of Erste Group i.e., Erste Group and Julius Bär go up and down completely randomly.

Pair Corralation between Erste Group and Julius Bär

Assuming the 90 days horizon Erste Group Bank is expected to generate 1.23 times more return on investment than Julius Bär. However, Erste Group is 1.23 times more volatile than Julius Br Gruppe. It trades about 0.09 of its potential returns per unit of risk. Julius Br Gruppe is currently generating about 0.1 per unit of risk. If you would invest  6,275  in Erste Group Bank on December 29, 2024 and sell it today you would earn a total of  910.00  from holding Erste Group Bank or generate 14.5% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	95.16%
Values	Daily Returns

Erste Group Bank  vs.  Julius Br Gruppe

Erste Group Bank

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Erste Group Bank are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak basic indicators, Erste Group reported solid returns over the last few months and may actually be approaching a breakup point.

Julius Br Gruppe

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Julius Br Gruppe are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak basic indicators, Julius Bär reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Erste Group and Julius Bär

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

The idea behind Erste Group Bank and Julius Br Gruppe 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.