Correlation Between Thyssenkrupp and Thyssenkrupp

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

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

Diversification Opportunities for Thyssenkrupp and Thyssenkrupp

0.84

Correlation Coefficient

Thyssenkrupp  Thyssenkrupp

Very poor diversification

The 3 months correlation between Thyssenkrupp and Thyssenkrupp is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Thyssenkrupp AG ON and Thyssenkrupp AG ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thyssenkrupp AG ADR and Thyssenkrupp 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 Thyssenkrupp AG ON are associated (or correlated) with Thyssenkrupp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thyssenkrupp AG ADR has no effect on the direction of Thyssenkrupp i.e., Thyssenkrupp and Thyssenkrupp go up and down completely randomly.

Pair Corralation between Thyssenkrupp and Thyssenkrupp

Assuming the 90 days horizon Thyssenkrupp is expected to generate 5.84 times less return on investment than Thyssenkrupp. In addition to that, Thyssenkrupp is 1.82 times more volatile than Thyssenkrupp AG ADR. It trades about 0.0 of its total potential returns per unit of risk. Thyssenkrupp AG ADR is currently generating about 0.05 per unit of volatility. If you would invest  407.00  in Thyssenkrupp AG ADR on September 25, 2024 and sell it today you would earn a total of  8.00  from holding Thyssenkrupp AG ADR or generate 1.97% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Thyssenkrupp AG ON  vs.  Thyssenkrupp AG ADR

Thyssenkrupp AG ON

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Thyssenkrupp AG ON are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak forward-looking signals, Thyssenkrupp reported solid returns over the last few months and may actually be approaching a breakup point.

Thyssenkrupp AG ADR

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Thyssenkrupp AG ADR are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak primary indicators, Thyssenkrupp showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Thyssenkrupp and Thyssenkrupp

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

The idea behind Thyssenkrupp AG ON and Thyssenkrupp AG ADR 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.