BMW - VW (Correlation)

2017年5月15日

Comparing the BMW chart to the VW chart it is striking that both price developments are strongly correlated to each other. Given the current spread between the two price changes in percentage, determined by using the closing price of the first day after going public, subtracting it from the current stock price and then subsequently deviding it through the first closing price, this offers us to greatly take advantage of their correlation. Obviously, it is likely that both prices are going to cross again in the future which means that all we have to do is shorting the BMW stock and buying some VW stocks in order to benefit from the decreasing spread between both prices. If we now charge both positions with the same amount of money and then close them when prices cross again, we are going to end up with 16.43% in profit.

2017年5月22日

注释

Remark: This is not supposed to mean that the BMW price is going to fall but only shows that it is going to increase less in the future than the VOW3D price which means, as a result, that shorting BMW can be used to hedge our ongoing VOW3D long trade.

Estimated profit (%):
p(x) = b + (h-b) - x/a * (h-b)

Money spent in VOW3D = a
Money spent in BMW = x
Estimated appreciation in value (%); (VOW3D) = h (= 25.71)
Profit spread (%) = b (= 16.43)