Correlation Between Autodesk and SAP SE

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

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

Diversification Opportunities for Autodesk and SAP SE

0.14

Correlation Coefficient

Autodesk  SAP SE

Average diversification

The 3 months correlation between Autodesk and SAP is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Autodesk and SAP SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAP SE 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 SAP SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAP SE has no effect on the direction of Autodesk i.e., Autodesk and SAP SE go up and down completely randomly.

Pair Corralation between Autodesk and SAP SE

Given the investment horizon of 90 days Autodesk is expected to under-perform the SAP SE. In addition to that, Autodesk is 1.22 times more volatile than SAP SE. It trades about -0.55 of its total potential returns per unit of risk. SAP SE is currently generating about -0.23 per unit of volatility. If you would invest  19,000  in SAP SE on January 20, 2024 and sell it today you would lose (1,325) from holding SAP SE or give up 6.97% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

Autodesk  vs.  SAP SE

Autodesk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Autodesk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite uncertain performance in the last few months, the Stock's basic indicators remain quite persistent which may send shares a bit higher in May 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

SAP SE

Risk-Adjusted Performance

7 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak technical and fundamental indicators, SAP SE may actually be approaching a critical reversion point that can send shares even higher in May 2024.

Pair Trading with Autodesk and SAP SE

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

The idea behind Autodesk and SAP 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.

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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 Stocks Directory module to find actively traded stocks across global markets.