Correlation Between Esso SAF and Graines Voltz
Can any of the company-specific risk be diversified away by investing in both Esso SAF and Graines Voltz 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 Esso SAF and Graines Voltz into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Esso SAF and Graines Voltz SA, you can compare the effects of market volatilities on Esso SAF and Graines Voltz 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 Esso SAF with a short position of Graines Voltz. Check out your portfolio center. Please also check ongoing floating volatility patterns of Esso SAF and Graines Voltz.
Diversification Opportunities for Esso SAF and Graines Voltz
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Esso and Graines is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Esso SAF and Graines Voltz SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Graines Voltz SA and Esso SAF 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 Esso SAF are associated (or correlated) with Graines Voltz. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Graines Voltz SA has no effect on the direction of Esso SAF i.e., Esso SAF and Graines Voltz go up and down completely randomly.
Pair Corralation between Esso SAF and Graines Voltz
Assuming the 90 days horizon Esso SAF is expected to generate 1.2 times more return on investment than Graines Voltz. However, Esso SAF is 1.2 times more volatile than Graines Voltz SA. It trades about 0.09 of its potential returns per unit of risk. Graines Voltz SA is currently generating about -0.06 per unit of risk. If you would invest 4,879 in Esso SAF on September 12, 2024 and sell it today you would earn a total of 5,501 from holding Esso SAF or generate 112.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Esso SAF vs. Graines Voltz SA
Performance |
| Timeline |
| Esso SAF |
| Graines Voltz SA |
Esso SAF and Graines Voltz Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Esso SAF and Graines Voltz
The main advantage of trading using opposite Esso SAF and Graines Voltz positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Esso SAF position performs unexpectedly, Graines Voltz 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 Graines Voltz will offset losses from the drop in Graines Voltz's long position.| Esso SAF vs. Etablissements Maurel et | Esso SAF vs. Eramet SA | Esso SAF vs. Socit BIC SA | Esso SAF vs. TotalEnergies EP Gabon |
| Graines Voltz vs. Jacques Bogart SA | Graines Voltz vs. Piscines Desjoyaux SA | Graines Voltz vs. Plastiques du Val | Graines Voltz vs. Robertet SA |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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