Correlation Between Hermes International and Vivendi SA
Can any of the company-specific risk be diversified away by investing in both Hermes International and Vivendi 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 Hermes International and Vivendi SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hermes International SCA and Vivendi SA, you can compare the effects of market volatilities on Hermes International and Vivendi 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 Hermes International with a short position of Vivendi SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hermes International and Vivendi SA.
Diversification Opportunities for Hermes International and Vivendi SA
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Hermes and Vivendi is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Hermes International SCA and Vivendi SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vivendi SA and Hermes International 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 Hermes International SCA are associated (or correlated) with Vivendi SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vivendi SA has no effect on the direction of Hermes International i.e., Hermes International and Vivendi SA go up and down completely randomly.
Pair Corralation between Hermes International and Vivendi SA
Assuming the 90 days trading horizon Hermes International SCA is expected to generate 1.25 times more return on investment than Vivendi SA. However, Hermes International is 1.25 times more volatile than Vivendi SA. It trades about -0.01 of its potential returns per unit of risk. Vivendi SA is currently generating about -0.08 per unit of risk. If you would invest 217,000 in Hermes International SCA on September 1, 2024 and sell it today you would lose (10,500) from holding Hermes International SCA or give up 4.84% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Hermes International SCA vs. Vivendi SA
Performance |
| Timeline |
| Hermes International SCA |
| Vivendi SA |
Hermes International and Vivendi SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hermes International and Vivendi SA
The main advantage of trading using opposite Hermes International and Vivendi SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hermes International position performs unexpectedly, Vivendi 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 Vivendi SA will offset losses from the drop in Vivendi SA's long position.| Hermes International vs. Kering SA | Hermes International vs. LVMH Mot Hennessy | Hermes International vs. LOreal SA | Hermes International vs. Christian Dior SE |
| Vivendi SA vs. Vinci SA | Vivendi SA vs. Compagnie de Saint Gobain | Vivendi SA vs. Bouygues SA | Vivendi SA vs. Carrefour SA |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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