Correlation Between Icade SA and Samse SA
Can any of the company-specific risk be diversified away by investing in both Icade SA and Samse SA 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 Icade SA and Samse SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Icade SA and Samse SA, you can compare the effects of market volatilities on Icade SA and Samse SA 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 Icade SA with a short position of Samse SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Icade SA and Samse SA.
Diversification Opportunities for Icade SA and Samse SA
Very good diversification
The 3 months correlation between Icade and Samse is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Icade SA and Samse SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samse SA and Icade 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 Icade SA are associated (or correlated) with Samse SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samse SA has no effect on the direction of Icade SA i.e., Icade SA and Samse SA go up and down completely randomly.
Pair Corralation between Icade SA and Samse SA
Assuming the 90 days trading horizon Icade SA is expected to generate 2.43 times less return on investment than Samse SA. In addition to that, Icade SA is 1.61 times more volatile than Samse SA. It trades about 0.01 of its total potential returns per unit of risk. Samse SA is currently generating about 0.05 per unit of volatility. If you would invest 14,700 in Samse SA on November 28, 2024 and sell it today you would earn a total of 200.00 from holding Samse SA or generate 1.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Icade SA vs. Samse SA
Performance |
| Timeline |
| Icade SA |
| Samse SA |
Icade SA and Samse SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Icade SA and Samse SA
The main advantage of trading using opposite Icade SA and Samse SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Icade SA position performs unexpectedly, Samse SA 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 Samse SA will offset losses from the drop in Samse SA's long position.The idea behind Icade SA and Samse SA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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