Correlation Between E Split and Eni SPA
Can any of the company-specific risk be diversified away by investing in both E Split and Eni SPA 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 E Split and Eni SPA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between E Split Corp and Enterprise Group, you can compare the effects of market volatilities on E Split and Eni SPA 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 E Split with a short position of Eni SPA. Check out your portfolio center. Please also check ongoing floating volatility patterns of E Split and Eni SPA.
Diversification Opportunities for E Split and Eni SPA
Poor diversification
The 3 months correlation between ENS-PA and Eni is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding E Split Corp and Enterprise Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Enterprise Group and E Split 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 E Split Corp are associated (or correlated) with Eni SPA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Enterprise Group has no effect on the direction of E Split i.e., E Split and Eni SPA go up and down completely randomly.
Pair Corralation between E Split and Eni SPA
Assuming the 90 days trading horizon E Split is expected to generate 17.19 times less return on investment than Eni SPA. But when comparing it to its historical volatility, E Split Corp is 11.62 times less risky than Eni SPA. It trades about 0.1 of its potential returns per unit of risk. Enterprise Group is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 13.00 in Enterprise Group on September 12, 2024 and sell it today you would earn a total of 178.00 from holding Enterprise Group or generate 1369.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
E Split Corp vs. Enterprise Group
Performance |
| Timeline |
| E Split Corp |
| Enterprise Group |
E Split and Eni SPA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with E Split and Eni SPA
The main advantage of trading using opposite E Split and Eni SPA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if E Split position performs unexpectedly, Eni SPA 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 Eni SPA will offset losses from the drop in Eni SPA's long position.| E Split vs. Enbridge Pref 5 | E Split vs. Enbridge Pref 11 | E Split vs. Enbridge Pref L | E Split vs. E Split Corp |
| Eni SPA vs. Enbridge Pref 5 | Eni SPA vs. Enbridge Pref 11 | Eni SPA vs. Enbridge Pref L | Eni SPA vs. E Split 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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