Correlation Between Autodesk and Dassault Systemes

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Can any of the company-specific risk be diversified away by investing in both Autodesk and Dassault Systemes 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 Autodesk and Dassault Systemes into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Autodesk and Dassault Systemes SA, you can compare the effects of market volatilities on Autodesk and Dassault Systemes 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 Autodesk with a short position of Dassault Systemes. Check out your portfolio center. Please also check ongoing floating volatility patterns of Autodesk and Dassault Systemes.

Diversification Opportunities for Autodesk and Dassault Systemes

-0.25
  Correlation Coefficient

Very good diversification

The 3 months correlation between Autodesk and Dassault is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding Autodesk and Dassault Systemes SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dassault Systemes and Autodesk 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 Autodesk are associated (or correlated) with Dassault Systemes. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dassault Systemes has no effect on the direction of Autodesk i.e., Autodesk and Dassault Systemes go up and down completely randomly.

Pair Corralation between Autodesk and Dassault Systemes

Given the investment horizon of 90 days Autodesk is expected to generate 1.45 times more return on investment than Dassault Systemes. However, Autodesk is 1.45 times more volatile than Dassault Systemes SA. It trades about 0.05 of its potential returns per unit of risk. Dassault Systemes SA is currently generating about -0.18 per unit of risk. If you would invest  25,695  in Autodesk on December 29, 2023 and sell it today you would earn a total of  402.00  from holding Autodesk or generate 1.56% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Autodesk  vs.  Dassault Systemes SA

 Performance 
       Timeline  
Autodesk 

Risk-Adjusted Performance

6 of 100

 
Low
 
High
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Autodesk are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite unsteady basic indicators, Autodesk may actually be approaching a critical reversion point that can send shares even higher in April 2024.
Dassault Systemes 

Risk-Adjusted Performance

0 of 100

 
Low
 
High
Very Weak
Over the last 90 days Dassault Systemes SA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest fragile performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Autodesk and Dassault Systemes Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Autodesk and Dassault Systemes

The main advantage of trading using opposite Autodesk and Dassault Systemes positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Autodesk position performs unexpectedly, Dassault Systemes 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 Dassault Systemes will offset losses from the drop in Dassault Systemes' long position.
The idea behind Autodesk and Dassault Systemes SA 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.

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