Correlation Between NRJ and Stef SA
Can any of the company-specific risk be diversified away by investing in both NRJ and Stef 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 NRJ and Stef SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NRJ Group and Stef SA, you can compare the effects of market volatilities on NRJ and Stef 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 NRJ with a short position of Stef SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of NRJ and Stef SA.
Diversification Opportunities for NRJ and Stef SA
Poor diversification
The 3 months correlation between NRJ and Stef is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding NRJ Group and Stef SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stef 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 Stef SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stef SA has no effect on the direction of NRJ i.e., NRJ and Stef SA go up and down completely randomly.
Pair Corralation between NRJ and Stef SA
Assuming the 90 days trading horizon NRJ Group is expected to under-perform the Stef SA. In addition to that, NRJ is 1.03 times more volatile than Stef SA. It trades about -0.28 of its total potential returns per unit of risk. Stef SA is currently generating about -0.07 per unit of volatility. If you would invest 13,420 in Stef SA on August 25, 2024 and sell it today you would lose (220.00) from holding Stef SA or give up 1.64% 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. Stef SA
Performance |
| Timeline |
| NRJ Group |
| Stef SA |
NRJ and Stef SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with NRJ and Stef SA
The main advantage of trading using opposite NRJ and Stef SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NRJ position performs unexpectedly, Stef 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 Stef SA will offset losses from the drop in Stef SA'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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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