Correlation Between Rubis SCA and Imerys SA
Can any of the company-specific risk be diversified away by investing in both Rubis SCA and Imerys 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 Rubis SCA and Imerys SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Rubis SCA and Imerys SA, you can compare the effects of market volatilities on Rubis SCA and Imerys 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 Rubis SCA with a short position of Imerys SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Rubis SCA and Imerys SA.
Diversification Opportunities for Rubis SCA and Imerys SA
Good diversification
The 3 months correlation between Rubis and Imerys is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Rubis SCA and Imerys SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Imerys SA and Rubis SCA 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 Rubis SCA are associated (or correlated) with Imerys SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Imerys SA has no effect on the direction of Rubis SCA i.e., Rubis SCA and Imerys SA go up and down completely randomly.
Pair Corralation between Rubis SCA and Imerys SA
Assuming the 90 days trading horizon Rubis SCA is expected to under-perform the Imerys SA. In addition to that, Rubis SCA is 1.43 times more volatile than Imerys SA. It trades about -0.04 of its total potential returns per unit of risk. Imerys SA is currently generating about 0.01 per unit of volatility. If you would invest 2,954 in Imerys SA on August 27, 2024 and sell it today you would lose (2.00) from holding Imerys SA or give up 0.07% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Rubis SCA vs. Imerys SA
Performance |
| Timeline |
| Rubis SCA |
| Imerys SA |
Rubis SCA and Imerys SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Rubis SCA and Imerys SA
The main advantage of trading using opposite Rubis SCA and Imerys SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Rubis SCA position performs unexpectedly, Imerys 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 Imerys SA will offset losses from the drop in Imerys SA's long position.| Rubis SCA vs. Gaztransport Technigaz SAS | Rubis SCA vs. Nexity | Rubis SCA vs. SCOR SE | Rubis SCA vs. TotalEnergies SE |
| Imerys SA vs. Jacques Bogart SA | Imerys SA vs. Passat Socit Anonyme | Imerys SA vs. Stef SA | Imerys SA vs. Haulotte Group 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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