Correlation Between GREENLIGHT CAP and SYSTEMAIR

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

By analyzing existing cross correlation between GREENLIGHT CAP RE and SYSTEMAIR AB, you can compare the effects of market volatilities on GREENLIGHT CAP and SYSTEMAIR 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 GREENLIGHT CAP with a short position of SYSTEMAIR. Check out your portfolio center. Please also check ongoing floating volatility patterns of GREENLIGHT CAP and SYSTEMAIR.

Diversification Opportunities for GREENLIGHT CAP and SYSTEMAIR

0.59

Correlation Coefficient

GREENLIGHT CAP  SYSTEMAIR

Very weak diversification

The 3 months correlation between GREENLIGHT and SYSTEMAIR is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding GREENLIGHT CAP RE and SYSTEMAIR AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SYSTEMAIR AB and GREENLIGHT CAP 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 GREENLIGHT CAP RE are associated (or correlated) with SYSTEMAIR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SYSTEMAIR AB has no effect on the direction of GREENLIGHT CAP i.e., GREENLIGHT CAP and SYSTEMAIR go up and down completely randomly.

Pair Corralation between GREENLIGHT CAP and SYSTEMAIR

Assuming the 90 days trading horizon GREENLIGHT CAP RE is expected to under-perform the SYSTEMAIR. But the stock apears to be less risky and, when comparing its historical volatility, GREENLIGHT CAP RE is 1.11 times less risky than SYSTEMAIR. The stock trades about -0.21 of its potential returns per unit of risk. The SYSTEMAIR AB is currently generating about -0.14 of returns per unit of risk over similar time horizon. If you would invest  808.00  in SYSTEMAIR AB on October 11, 2024 and sell it today you would lose (30.00) from holding SYSTEMAIR AB or give up 3.71% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	94.44%
Values	Daily Returns

GREENLIGHT CAP RE  vs.  SYSTEMAIR AB

GREENLIGHT CAP RE

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in GREENLIGHT CAP RE are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of rather fragile essential indicators, GREENLIGHT CAP may actually be approaching a critical reversion point that can send shares even higher in February 2025.

SYSTEMAIR AB

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in SYSTEMAIR AB are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, SYSTEMAIR may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with GREENLIGHT CAP and SYSTEMAIR

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

The idea behind GREENLIGHT CAP RE and SYSTEMAIR AB 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.