Correlation Between Esso SAF and Smcp SAS
Can any of the company-specific risk be diversified away by investing in both Esso SAF and Smcp SAS 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 Smcp SAS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Esso SAF and Smcp SAS, you can compare the effects of market volatilities on Esso SAF and Smcp SAS 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 Smcp SAS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Esso SAF and Smcp SAS.
Diversification Opportunities for Esso SAF and Smcp SAS
Excellent diversification
The 3 months correlation between Esso and Smcp is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Esso SAF and Smcp SAS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Smcp SAS 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 Smcp SAS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Smcp SAS has no effect on the direction of Esso SAF i.e., Esso SAF and Smcp SAS go up and down completely randomly.
Pair Corralation between Esso SAF and Smcp SAS
Assuming the 90 days horizon Esso SAF is expected to under-perform the Smcp SAS. But the stock apears to be less risky and, when comparing its historical volatility, Esso SAF is 1.58 times less risky than Smcp SAS. The stock trades about -0.07 of its potential returns per unit of risk. The Smcp SAS is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 275.00 in Smcp SAS on September 1, 2024 and sell it today you would earn a total of 18.00 from holding Smcp SAS or generate 6.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Esso SAF vs. Smcp SAS
Performance |
| Timeline |
| Esso SAF |
| Smcp SAS |
Esso SAF and Smcp SAS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Esso SAF and Smcp SAS
The main advantage of trading using opposite Esso SAF and Smcp SAS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Esso SAF position performs unexpectedly, Smcp SAS 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 Smcp SAS will offset losses from the drop in Smcp SAS'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 |
| Smcp SAS vs. Vente Unique | Smcp SAS vs. Groupe Sfpi | Smcp SAS vs. Cegedim SA | Smcp SAS vs. SA Catana Group |
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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