Correlation Between Swiss Life and Allianz SE

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

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

Diversification Opportunities for Swiss Life and Allianz SE

0.59

Correlation Coefficient

Swiss Life  Allianz SE

Very weak diversification

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

Pair Corralation between Swiss Life and Allianz SE

Assuming the 90 days horizon Swiss Life Holding is expected to under-perform the Allianz SE. But the pink sheet apears to be less risky and, when comparing its historical volatility, Swiss Life Holding is 2.51 times less risky than Allianz SE. The pink sheet trades about -0.08 of its potential returns per unit of risk. The Allianz SE is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  31,750  in Allianz SE on September 15, 2024 and sell it today you would lose (742.00) from holding Allianz SE or give up 2.34% of portfolio value over 90 days.

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

Swiss Life Holding  vs.  Allianz SE

Swiss Life Holding

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Swiss Life Holding has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable fundamental indicators, Swiss Life is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Allianz SE

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Allianz SE has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Allianz SE is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Swiss Life and Allianz SE

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

The idea behind Swiss Life Holding and Allianz SE 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.