Correlation Between Integrum and Ngenic AB

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

Diversification Opportunities for Integrum and Ngenic AB

0.67

Correlation Coefficient

Integrum  Ngenic AB

Poor diversification

The 3 months correlation between Integrum and Ngenic is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Integrum AB Series and Ngenic AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ngenic 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 Ngenic AB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ngenic AB has no effect on the direction of Integrum i.e., Integrum and Ngenic AB go up and down completely randomly.

Pair Corralation between Integrum and Ngenic AB

Assuming the 90 days trading horizon Integrum AB Series is expected to under-perform the Ngenic AB. But the stock apears to be less risky and, when comparing its historical volatility, Integrum AB Series is 2.86 times less risky than Ngenic AB. The stock trades about -0.18 of its potential returns per unit of risk. The Ngenic AB is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  230.00  in Ngenic AB on September 5, 2024 and sell it today you would earn a total of  195.00  from holding Ngenic AB or generate 84.78% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.85%
Values	Daily Returns

Integrum AB Series  vs.  Ngenic AB

Integrum AB Series

Risk-Adjusted Performance

0 of 100

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 weak performance in the last few months, the Stock's technical and fundamental indicators remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Ngenic AB

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Ngenic AB are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak technical and fundamental indicators, Ngenic AB sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Integrum and Ngenic AB

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

The idea behind Integrum AB Series and Ngenic 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.