Correlation Between Credit Suisse and UBS Group

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

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

Diversification Opportunities for Credit Suisse and UBS Group

0.06

Correlation Coefficient

Credit Suisse  UBS Group

Significant diversification

The 3 months correlation between Credit and UBS is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Credit Suisse Group and UBS Group AG in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on UBS Group AG and Credit Suisse 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 Credit Suisse Group are associated (or correlated) with UBS Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of UBS Group AG has no effect on the direction of Credit Suisse i.e., Credit Suisse and UBS Group go up and down completely randomly.

Pair Corralation between Credit Suisse and UBS Group

Allowing for the 90-day total investment horizon Credit Suisse is expected to generate 1.43 times less return on investment than UBS Group. In addition to that, Credit Suisse is 1.33 times more volatile than UBS Group AG. It trades about 0.05 of its total potential returns per unit of risk. UBS Group AG is currently generating about 0.1 per unit of volatility. If you would invest  1,885  in UBS Group AG on February 3, 2024 and sell it today you would earn a total of  797.00  from holding UBS Group AG or generate 42.28% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	10.48%
Values	Daily Returns

Credit Suisse Group  vs.  UBS Group AG

Credit Suisse Group

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Credit Suisse Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Credit Suisse is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

UBS Group AG

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days UBS Group AG has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable fundamental drivers, UBS Group is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Credit Suisse and UBS Group

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

The idea behind Credit Suisse Group and UBS Group AG 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.