Correlation Between Integrum and Dignitana

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

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

Diversification Opportunities for Integrum and Dignitana

-0.09

Correlation Coefficient

Integrum  Dignitana

Good diversification

The 3 months correlation between Integrum and Dignitana is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Integrum AB Series and Dignitana AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dignitana AB and Integrum 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 Integrum AB Series are associated (or correlated) with Dignitana. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dignitana AB has no effect on the direction of Integrum i.e., Integrum and Dignitana go up and down completely randomly.

Pair Corralation between Integrum and Dignitana

Assuming the 90 days trading horizon Integrum AB Series is expected to under-perform the Dignitana. But the stock apears to be less risky and, when comparing its historical volatility, Integrum AB Series is 4.83 times less risky than Dignitana. The stock trades about -0.06 of its potential returns per unit of risk. The Dignitana AB is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  94.00  in Dignitana AB on December 27, 2024 and sell it today you would earn a total of  114.00  from holding Dignitana AB or generate 121.28% return on investment over 90 days.

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

Integrum AB Series  vs.  Dignitana AB

Integrum AB Series

Risk-Adjusted Performance

Very Weak

Over the last 90 days Integrum AB Series has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest uncertain performance, the Stock's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Dignitana AB

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Dignitana AB are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Dignitana unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Integrum and Dignitana

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

The idea behind Integrum AB Series and Dignitana 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.