Correlation Between Robertet and Samse SA
Can any of the company-specific risk be diversified away by investing in both Robertet and Samse 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 Robertet and Samse SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Robertet SA and Samse SA, you can compare the effects of market volatilities on Robertet and Samse 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 Robertet with a short position of Samse SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Robertet and Samse SA.
Diversification Opportunities for Robertet and Samse SA
Very good diversification
The 3 months correlation between Robertet and Samse is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Robertet SA and Samse SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samse 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 Samse SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samse SA has no effect on the direction of Robertet i.e., Robertet and Samse SA go up and down completely randomly.
Pair Corralation between Robertet and Samse SA
Assuming the 90 days trading horizon Robertet SA is expected to under-perform the Samse SA. In addition to that, Robertet is 1.83 times more volatile than Samse SA. It trades about -0.21 of its total potential returns per unit of risk. Samse SA is currently generating about -0.32 per unit of volatility. If you would invest 15,450 in Samse SA on August 24, 2024 and sell it today you would lose (900.00) from holding Samse SA or give up 5.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Robertet SA vs. Samse SA
Performance |
| Timeline |
| Robertet SA |
| Samse SA |
Robertet and Samse SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Robertet and Samse SA
The main advantage of trading using opposite Robertet and Samse SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Robertet position performs unexpectedly, Samse 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 Samse SA will offset losses from the drop in Samse SA's long position.| Robertet vs. Grard Perrier Industrie | Robertet vs. Samse SA | Robertet vs. Manitou BF SA | Robertet vs. Ossiam Minimum Variance |
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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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