Correlation Between Dentsu and Publicis Groupe
Can any of the company-specific risk be diversified away by investing in both Dentsu and Publicis Groupe 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 Dentsu and Publicis Groupe into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dentsu Inc and Publicis Groupe SA, you can compare the effects of market volatilities on Dentsu and Publicis Groupe 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 Dentsu with a short position of Publicis Groupe. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dentsu and Publicis Groupe.
Diversification Opportunities for Dentsu and Publicis Groupe
-0.35 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Dentsu and Publicis is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding Dentsu Inc and Publicis Groupe SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Publicis Groupe SA and Dentsu 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 Dentsu Inc are associated (or correlated) with Publicis Groupe. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Publicis Groupe SA has no effect on the direction of Dentsu i.e., Dentsu and Publicis Groupe go up and down completely randomly.
Pair Corralation between Dentsu and Publicis Groupe
Assuming the 90 days horizon Dentsu Inc is expected to under-perform the Publicis Groupe. In addition to that, Dentsu is 6.36 times more volatile than Publicis Groupe SA. It trades about -0.24 of its total potential returns per unit of risk. Publicis Groupe SA is currently generating about -0.15 per unit of volatility. If you would invest 11,077 in Publicis Groupe SA on August 26, 2024 and sell it today you would lose (839.00) from holding Publicis Groupe SA or give up 7.57% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 18.18% |
| Values | Daily Returns |
Dentsu Inc vs. Publicis Groupe SA
Performance |
| Timeline |
| Dentsu Inc |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Modest
| Publicis Groupe SA |
Dentsu and Publicis Groupe Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dentsu and Publicis Groupe
The main advantage of trading using opposite Dentsu and Publicis Groupe positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dentsu position performs unexpectedly, Publicis Groupe 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 Publicis Groupe will offset losses from the drop in Publicis Groupe's long position.The idea behind Dentsu Inc and Publicis Groupe SA 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.| Publicis Groupe vs. Marchex | Publicis Groupe vs. Snipp Interactive | Publicis Groupe vs. Emerald Expositions Events |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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