Correlation Between NRJ and Savencia
Can any of the company-specific risk be diversified away by investing in both NRJ and Savencia 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 Savencia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NRJ Group and Savencia SA, you can compare the effects of market volatilities on NRJ and Savencia 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 Savencia. Check out your portfolio center. Please also check ongoing floating volatility patterns of NRJ and Savencia.
Diversification Opportunities for NRJ and Savencia
Significant diversification
The 3 months correlation between NRJ and Savencia is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding NRJ Group and Savencia SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Savencia SA 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 Savencia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Savencia SA has no effect on the direction of NRJ i.e., NRJ and Savencia go up and down completely randomly.
Pair Corralation between NRJ and Savencia
Assuming the 90 days trading horizon NRJ Group is expected to under-perform the Savencia. But the stock apears to be less risky and, when comparing its historical volatility, NRJ Group is 1.35 times less risky than Savencia. The stock trades about -0.28 of its potential returns per unit of risk. The Savencia SA is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 5,180 in Savencia SA on August 25, 2024 and sell it today you would earn a total of 20.00 from holding Savencia SA or generate 0.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
NRJ Group vs. Savencia SA
Performance |
| Timeline |
| NRJ Group |
| Savencia SA |
NRJ and Savencia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with NRJ and Savencia
The main advantage of trading using opposite NRJ and Savencia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NRJ position performs unexpectedly, Savencia 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 Savencia will offset losses from the drop in Savencia's long position.| NRJ vs. Television Francaise 1 | NRJ vs. Mtropole Tlvision SA | NRJ vs. Haulotte Group SA | NRJ 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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