Correlation Between Imerys SA and SCOR SE
Can any of the company-specific risk be diversified away by investing in both Imerys SA and SCOR SE 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 Imerys SA and SCOR SE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Imerys SA and SCOR SE, you can compare the effects of market volatilities on Imerys SA and SCOR SE 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 Imerys SA with a short position of SCOR SE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Imerys SA and SCOR SE.
Diversification Opportunities for Imerys SA and SCOR SE
Significant diversification
The 3 months correlation between Imerys and SCOR is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Imerys SA and SCOR SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCOR SE and Imerys 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 Imerys SA are associated (or correlated) with SCOR SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCOR SE has no effect on the direction of Imerys SA i.e., Imerys SA and SCOR SE go up and down completely randomly.
Pair Corralation between Imerys SA and SCOR SE
Assuming the 90 days horizon Imerys SA is expected to generate 37.93 times less return on investment than SCOR SE. But when comparing it to its historical volatility, Imerys SA is 1.16 times less risky than SCOR SE. It trades about 0.01 of its potential returns per unit of risk. SCOR SE is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 2,028 in SCOR SE on August 28, 2024 and sell it today you would earn a total of 334.00 from holding SCOR SE or generate 16.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Imerys SA vs. SCOR SE
Performance |
| Timeline |
| Imerys SA |
| SCOR SE |
Imerys SA and SCOR SE Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Imerys SA and SCOR SE
The main advantage of trading using opposite Imerys SA and SCOR SE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Imerys SA position performs unexpectedly, SCOR SE 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 SCOR SE will offset losses from the drop in SCOR SE's long position.| Imerys SA vs. Jacques Bogart SA | Imerys SA vs. Passat Socit Anonyme | Imerys SA vs. Stef SA | Imerys SA vs. Haulotte Group 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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