Correlation Between Engie SA and AuraSource
Can any of the company-specific risk be diversified away by investing in both Engie SA and AuraSource 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 Engie SA and AuraSource into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Engie SA ADR and AuraSource, you can compare the effects of market volatilities on Engie SA and AuraSource 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 Engie SA with a short position of AuraSource. Check out your portfolio center. Please also check ongoing floating volatility patterns of Engie SA and AuraSource.
Diversification Opportunities for Engie SA and AuraSource
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Engie and AuraSource is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Engie SA ADR and AuraSource in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AuraSource and Engie SA 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 Engie SA ADR are associated (or correlated) with AuraSource. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AuraSource has no effect on the direction of Engie SA i.e., Engie SA and AuraSource go up and down completely randomly.
Pair Corralation between Engie SA and AuraSource
Assuming the 90 days horizon Engie SA ADR is expected to under-perform the AuraSource. But the pink sheet apears to be less risky and, when comparing its historical volatility, Engie SA ADR is 240.1 times less risky than AuraSource. The pink sheet trades about -0.36 of its potential returns per unit of risk. The AuraSource is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest 0.03 in AuraSource on August 28, 2024 and sell it today you would earn a total of 0.00 from holding AuraSource or generate 0.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Engie SA ADR vs. AuraSource
Performance |
| Timeline |
| Engie SA ADR |
| AuraSource |
Engie SA and AuraSource Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Engie SA and AuraSource
The main advantage of trading using opposite Engie SA and AuraSource positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Engie SA position performs unexpectedly, AuraSource 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 AuraSource will offset losses from the drop in AuraSource's long position.| Engie SA vs. TransAlta Corp | Engie SA vs. Pampa Energia SA | Engie SA vs. Vistra Energy Corp | Engie SA vs. NRG Energy |
| AuraSource vs. Energy of Minas | AuraSource vs. Canadian Utilities Limited | AuraSource vs. NorthWestern | AuraSource vs. Allete Inc |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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