Correlation Between Robertet and Gascogne
Can any of the company-specific risk be diversified away by investing in both Robertet and Gascogne 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 Robertet and Gascogne into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Robertet SA and Gascogne SA, you can compare the effects of market volatilities on Robertet and Gascogne 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 Robertet with a short position of Gascogne. Check out your portfolio center. Please also check ongoing floating volatility patterns of Robertet and Gascogne.
Diversification Opportunities for Robertet and Gascogne
Poor diversification
The 3 months correlation between Robertet and Gascogne is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Robertet SA and Gascogne SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gascogne SA and Robertet 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 Robertet SA are associated (or correlated) with Gascogne. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gascogne SA has no effect on the direction of Robertet i.e., Robertet and Gascogne go up and down completely randomly.
Pair Corralation between Robertet and Gascogne
Assuming the 90 days trading horizon Robertet SA is expected to generate 0.62 times more return on investment than Gascogne. However, Robertet SA is 1.61 times less risky than Gascogne. It trades about -0.09 of its potential returns per unit of risk. Gascogne SA is currently generating about -0.17 per unit of risk. If you would invest 84,000 in Robertet SA on December 10, 2024 and sell it today you would lose (1,500) from holding Robertet SA or give up 1.79% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Robertet SA vs. Gascogne SA
Performance |
| Timeline |
| Robertet SA |
| Gascogne SA |
Robertet and Gascogne Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Robertet and Gascogne
The main advantage of trading using opposite Robertet and Gascogne positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Robertet position performs unexpectedly, Gascogne 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 Gascogne will offset losses from the drop in Gascogne's long position.| Robertet vs. Tonnellerie Francois Freres | Robertet vs. Thermador Groupe SA | Robertet vs. Neurones | Robertet vs. Sartorius Stedim Biotech |
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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