Correlation Between Autodesk and SAP SE

Specify exactly 2 symbols:
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

0.82
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Autodesk and SAP is 0.82. 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 generate 5.49 times less return on investment than SAP SE. But when comparing it to its historical volatility, Autodesk is 1.24 times less risky than SAP SE. It trades about 0.04 of its potential returns per unit of risk. SAP SE is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  16,294  in SAP SE on December 20, 2023 and sell it today you would earn a total of  2,454  from holding SAP SE or generate 15.06% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Autodesk  vs.  SAP SE

 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 weak basic indicators, Autodesk may actually be approaching a critical reversion point that can send shares even higher in April 2024.
SAP SE 

Risk-Adjusted Performance

16 of 100

 
Low
 
High
Good
Compared to the overall equity markets, risk-adjusted returns on investments in SAP SE are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite nearly unfluctuating technical and fundamental indicators, SAP SE reported solid returns over the last few months and may actually be approaching a breakup point.

Autodesk and SAP SE Volatility Contrast

   Predicted Return Density   
       Returns  

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.
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

Other Complementary Tools

Pattern Recognition
Use different Pattern Recognition models to time the market across multiple global exchanges
Commodity Channel
Use Commodity Channel Index to analyze current equity momentum
Cryptocurrency Center
Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency
Portfolio Optimization
Compute new portfolio that will generate highest expected return given your specified tolerance for risk
Correlation Analysis
Reduce portfolio risk simply by holding instruments which are not perfectly correlated
Stocks Directory
Find actively traded stocks across global markets
Headlines Timeline
Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity
Alpha Finder
Use alpha and beta coefficients to find investment opportunities after accounting for the risk
Funds Screener
Find actively-traded funds from around the world traded on over 30 global exchanges
Theme Ratings
Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance
Portfolio File Import
Quickly import all of your third-party portfolios from your local drive in csv format