Correlation Between Groupon and SAS AB

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

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

Diversification Opportunities for Groupon and SAS AB

0.19

Correlation Coefficient

Groupon  SAS AB

Average diversification

The 3 months correlation between Groupon and SAS is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Groupon and SAS AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAS AB and Groupon 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 Groupon are associated (or correlated) with SAS AB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAS AB has no effect on the direction of Groupon i.e., Groupon and SAS AB go up and down completely randomly.

Pair Corralation between Groupon and SAS AB

Given the investment horizon of 90 days Groupon is expected to generate 1.18 times more return on investment than SAS AB. However, Groupon is 1.18 times more volatile than SAS AB. It trades about -0.2 of its potential returns per unit of risk. SAS AB is currently generating about -0.33 per unit of risk. If you would invest  1,311  in Groupon on January 25, 2024 and sell it today you would lose (257.00) from holding Groupon or give up 19.6% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	90.91%
Values	Daily Returns

Groupon  vs.  SAS AB

Groupon

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Groupon has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's basic indicators remain healthy and the recent disarray on Wall Street may also be a sign of long period gains for the firm investors.

SAS AB

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in SAS AB are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite weak fundamental indicators, SAS AB disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Groupon and SAS AB

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

The idea behind Groupon and SAS AB 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .