Correlation Between SIEMENS AG and Agfa Gevaert

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

By analyzing existing cross correlation between SIEMENS AG SP and Agfa Gevaert NV, you can compare the effects of market volatilities on SIEMENS AG and Agfa Gevaert 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 SIEMENS AG with a short position of Agfa Gevaert. Check out your portfolio center. Please also check ongoing floating volatility patterns of SIEMENS AG and Agfa Gevaert.

Diversification Opportunities for SIEMENS AG and Agfa Gevaert

-0.08

Correlation Coefficient

SIEMENS AG  Agfa Gevaert

Good diversification

The 3 months correlation between SIEMENS and Agfa is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding SIEMENS AG SP and Agfa Gevaert NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Agfa Gevaert NV and SIEMENS AG 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 SIEMENS AG SP are associated (or correlated) with Agfa Gevaert. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agfa Gevaert NV has no effect on the direction of SIEMENS AG i.e., SIEMENS AG and Agfa Gevaert go up and down completely randomly.

Pair Corralation between SIEMENS AG and Agfa Gevaert

Assuming the 90 days trading horizon SIEMENS AG SP is expected to generate 0.57 times more return on investment than Agfa Gevaert. However, SIEMENS AG SP is 1.76 times less risky than Agfa Gevaert. It trades about -0.05 of its potential returns per unit of risk. Agfa Gevaert NV is currently generating about -0.04 per unit of risk. If you would invest  8,900  in SIEMENS AG SP on February 20, 2024 and sell it today you would lose (350.00) from holding SIEMENS AG SP or give up 3.93% of portfolio value over 90 days.

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

SIEMENS AG SP  vs.  Agfa Gevaert NV

SIEMENS AG SP

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in SIEMENS AG SP are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable technical and fundamental indicators, SIEMENS AG is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Agfa Gevaert NV

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Agfa Gevaert NV are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, Agfa Gevaert may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with SIEMENS AG and Agfa Gevaert

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

The idea behind SIEMENS AG SP and Agfa Gevaert NV 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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.