Correlation Between NRJ and Gevelot
Can any of the company-specific risk be diversified away by investing in both NRJ and Gevelot 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 NRJ and Gevelot into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NRJ Group and Gevelot, you can compare the effects of market volatilities on NRJ and Gevelot 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 NRJ with a short position of Gevelot. Check out your portfolio center. Please also check ongoing floating volatility patterns of NRJ and Gevelot.
Diversification Opportunities for NRJ and Gevelot
Poor diversification
The 3 months correlation between NRJ and Gevelot is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding NRJ Group and Gevelot in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gevelot and NRJ 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 NRJ Group are associated (or correlated) with Gevelot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gevelot has no effect on the direction of NRJ i.e., NRJ and Gevelot go up and down completely randomly.
Pair Corralation between NRJ and Gevelot
Assuming the 90 days trading horizon NRJ Group is expected to generate 0.79 times more return on investment than Gevelot. However, NRJ Group is 1.27 times less risky than Gevelot. It trades about -0.04 of its potential returns per unit of risk. Gevelot is currently generating about -0.09 per unit of risk. If you would invest 766.00 in NRJ Group on August 29, 2024 and sell it today you would lose (68.00) from holding NRJ Group or give up 8.88% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
NRJ Group vs. Gevelot
Performance |
| Timeline |
| NRJ Group |
| Gevelot |
NRJ and Gevelot Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with NRJ and Gevelot
The main advantage of trading using opposite NRJ and Gevelot positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NRJ position performs unexpectedly, Gevelot 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 Gevelot will offset losses from the drop in Gevelot's long position.| NRJ vs. Television Francaise 1 | NRJ vs. Mtropole Tlvision SA | NRJ vs. Haulotte Group SA | NRJ vs. VIEL Cie socit |
| Gevelot vs. Passat Socit Anonyme | Gevelot vs. Groupe Guillin SA | Gevelot vs. Jacques Bogart SA | Gevelot vs. VIEL Cie socit |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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