Correlation Between Aumann AG and Atlas Copco

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

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

Diversification Opportunities for Aumann AG and Atlas Copco

-0.22

Correlation Coefficient

Aumann AG  Atlas Copco

Very good diversification

The 3 months correlation between Aumann and Atlas is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Aumann AG and Atlas Copco AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Atlas Copco AB and Aumann 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 Aumann AG are associated (or correlated) with Atlas Copco. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Atlas Copco AB has no effect on the direction of Aumann AG i.e., Aumann AG and Atlas Copco go up and down completely randomly.

Pair Corralation between Aumann AG and Atlas Copco

Assuming the 90 days horizon Aumann AG is expected to generate 5.54 times less return on investment than Atlas Copco. But when comparing it to its historical volatility, Aumann AG is 1.86 times less risky than Atlas Copco. It trades about 0.02 of its potential returns per unit of risk. Atlas Copco AB is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  506.00  in Atlas Copco AB on February 3, 2024 and sell it today you would earn a total of  1,029  from holding Atlas Copco AB or generate 203.36% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	97.37%
Values	Daily Returns

Aumann AG  vs.  Atlas Copco AB

Aumann AG

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aumann AG has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable primary indicators, Aumann AG is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Atlas Copco AB

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Atlas Copco AB are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile technical and fundamental indicators, Atlas Copco reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Aumann AG and Atlas Copco

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

The idea behind Aumann AG and Atlas Copco 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.