Correlation Between Credit Agricole and Societe Generale
Can any of the company-specific risk be diversified away by investing in both Credit Agricole and Societe Generale 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 Agricole and Societe Generale into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Credit Agricole SA and Societe Generale SA, you can compare the effects of market volatilities on Credit Agricole and Societe Generale 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 Agricole with a short position of Societe Generale. Check out your portfolio center. Please also check ongoing floating volatility patterns of Credit Agricole and Societe Generale.
Diversification Opportunities for Credit Agricole and Societe Generale
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Credit and Societe is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Credit Agricole SA and Societe Generale SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Societe Generale and Credit Agricole 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 Agricole SA are associated (or correlated) with Societe Generale. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Societe Generale has no effect on the direction of Credit Agricole i.e., Credit Agricole and Societe Generale go up and down completely randomly.
Pair Corralation between Credit Agricole and Societe Generale
Assuming the 90 days trading horizon Credit Agricole SA is expected to under-perform the Societe Generale. But the stock apears to be less risky and, when comparing its historical volatility, Credit Agricole SA is 2.13 times less risky than Societe Generale. The stock trades about -0.3 of its potential returns per unit of risk. The Societe Generale SA is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 2,385 in Societe Generale SA on August 28, 2024 and sell it today you would earn a total of 195.00 from holding Societe Generale SA or generate 8.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Credit Agricole SA vs. Societe Generale SA
Performance |
| Timeline |
| Credit Agricole SA |
| Societe Generale |
Credit Agricole and Societe Generale Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Credit Agricole and Societe Generale
The main advantage of trading using opposite Credit Agricole and Societe Generale positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Credit Agricole position performs unexpectedly, Societe Generale 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 Societe Generale will offset losses from the drop in Societe Generale's long position.| Credit Agricole vs. Societe Generale SA | Credit Agricole vs. BNP Paribas SA | Credit Agricole vs. AXA SA | Credit Agricole vs. Orange SA |
| Societe Generale vs. BNP Paribas SA | Societe Generale vs. AXA SA | Societe Generale vs. Orange SA | Societe Generale vs. Carrefour SA |
Check out your portfolio center.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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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