Correlation Between Engie SA and Montauk Renewables
Can any of the company-specific risk be diversified away by investing in both Engie SA and Montauk Renewables 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 Montauk Renewables 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 Montauk Renewables, you can compare the effects of market volatilities on Engie SA and Montauk Renewables 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 Montauk Renewables. Check out your portfolio center. Please also check ongoing floating volatility patterns of Engie SA and Montauk Renewables.
Diversification Opportunities for Engie SA and Montauk Renewables
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Engie and Montauk is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Engie SA ADR and Montauk Renewables in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Montauk Renewables 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 Montauk Renewables. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Montauk Renewables has no effect on the direction of Engie SA i.e., Engie SA and Montauk Renewables go up and down completely randomly.
Pair Corralation between Engie SA and Montauk Renewables
Assuming the 90 days horizon Engie SA ADR is expected to generate 0.17 times more return on investment than Montauk Renewables. However, Engie SA ADR is 5.99 times less risky than Montauk Renewables. It trades about -0.25 of its potential returns per unit of risk. Montauk Renewables is currently generating about -0.15 per unit of risk. If you would invest 1,684 in Engie SA ADR on September 1, 2024 and sell it today you would lose (87.00) from holding Engie SA ADR or give up 5.17% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Engie SA ADR vs. Montauk Renewables
Performance |
| Timeline |
| Engie SA ADR |
| Montauk Renewables |
Engie SA and Montauk Renewables Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Engie SA and Montauk Renewables
The main advantage of trading using opposite Engie SA and Montauk Renewables positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Engie SA position performs unexpectedly, Montauk Renewables 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 Montauk Renewables will offset losses from the drop in Montauk Renewables' long position.| Engie SA vs. Nextera Energy | Engie SA vs. Consumers Energy | Engie SA vs. Duke Energy | Engie SA vs. Centrais Electricas Brasileiras |
| Montauk Renewables vs. Avista | Montauk Renewables vs. Allete Inc | Montauk Renewables vs. Black Hills | Montauk Renewables vs. Companhia Paranaense de |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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