Correlation Between Imerys SA and Verallia
Can any of the company-specific risk be diversified away by investing in both Imerys SA and Verallia 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 Verallia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Imerys SA and Verallia, you can compare the effects of market volatilities on Imerys SA and Verallia 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 Verallia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Imerys SA and Verallia.
Diversification Opportunities for Imerys SA and Verallia
Very weak diversification
The 3 months correlation between Imerys and Verallia is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding Imerys SA and Verallia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Verallia 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 Verallia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Verallia has no effect on the direction of Imerys SA i.e., Imerys SA and Verallia go up and down completely randomly.
Pair Corralation between Imerys SA and Verallia
Assuming the 90 days horizon Imerys SA is expected to generate 0.92 times more return on investment than Verallia. However, Imerys SA is 1.09 times less risky than Verallia. It trades about -0.14 of its potential returns per unit of risk. Verallia is currently generating about -0.16 per unit of risk. If you would invest 2,992 in Imerys SA on September 3, 2024 and sell it today you would lose (162.00) from holding Imerys SA or give up 5.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Imerys SA vs. Verallia
Performance |
| Timeline |
| Imerys SA |
| Verallia |
Imerys SA and Verallia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Imerys SA and Verallia
The main advantage of trading using opposite Imerys SA and Verallia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Imerys SA position performs unexpectedly, Verallia 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 Verallia will offset losses from the drop in Verallia's long position.| Imerys SA vs. Rubis SCA | Imerys SA vs. Eramet SA | Imerys SA vs. Nexity | Imerys SA vs. Compagnie de Saint Gobain |
| Verallia vs. Gaztransport Technigaz SAS | Verallia vs. Imerys SA | Verallia vs. Amundi SA | Verallia vs. Rubis SCA |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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