Correlation Between Eni SPA and PBF Energy
Can any of the company-specific risk be diversified away by investing in both Eni SPA and PBF Energy 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 Eni SPA and PBF Energy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Eni SpA ADR and PBF Energy, you can compare the effects of market volatilities on Eni SPA and PBF Energy 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 Eni SPA with a short position of PBF Energy. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eni SPA and PBF Energy.
Diversification Opportunities for Eni SPA and PBF Energy
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Eni and PBF is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Eni SpA ADR and PBF Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PBF Energy and Eni SPA 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 Eni SpA ADR are associated (or correlated) with PBF Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PBF Energy has no effect on the direction of Eni SPA i.e., Eni SPA and PBF Energy go up and down completely randomly.
Pair Corralation between Eni SPA and PBF Energy
Taking into account the 90-day investment horizon Eni SPA is expected to generate 2.61 times less return on investment than PBF Energy. But when comparing it to its historical volatility, Eni SpA ADR is 3.85 times less risky than PBF Energy. It trades about 0.1 of its potential returns per unit of risk. PBF Energy is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 2,705 in PBF Energy on November 9, 2024 and sell it today you would earn a total of 105.00 from holding PBF Energy or generate 3.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eni SpA ADR vs. PBF Energy
Performance |
| Timeline |
| Eni SpA ADR |
| PBF Energy |
Eni SPA and PBF Energy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eni SPA and PBF Energy
The main advantage of trading using opposite Eni SPA and PBF Energy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eni SPA position performs unexpectedly, PBF Energy 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 PBF Energy will offset losses from the drop in PBF Energy's long position.| Eni SPA vs. TotalEnergies SE ADR | Eni SPA vs. Ecopetrol SA ADR | Eni SPA vs. Shell PLC ADR | Eni SPA vs. Petroleo Brasileiro Petrobras |
| PBF Energy vs. Delek Energy | PBF Energy vs. CVR Energy | PBF Energy vs. Valero Energy | PBF Energy vs. Marathon Petroleum Corp |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
Other Complementary Tools
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope |