Correlation Between Samse SA and Esso SAF
Can any of the company-specific risk be diversified away by investing in both Samse SA and Esso SAF 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 Samse SA and Esso SAF into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Samse SA and Esso SAF, you can compare the effects of market volatilities on Samse SA and Esso SAF 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 Samse SA with a short position of Esso SAF. Check out your portfolio center. Please also check ongoing floating volatility patterns of Samse SA and Esso SAF.
Diversification Opportunities for Samse SA and Esso SAF
Modest diversification
The 3 months correlation between Samse and Esso is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding Samse SA and Esso SAF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Esso SAF and Samse SA 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 Samse SA are associated (or correlated) with Esso SAF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Esso SAF has no effect on the direction of Samse SA i.e., Samse SA and Esso SAF go up and down completely randomly.
Pair Corralation between Samse SA and Esso SAF
Assuming the 90 days trading horizon Samse SA is expected to generate 0.5 times more return on investment than Esso SAF. However, Samse SA is 2.01 times less risky than Esso SAF. It trades about -0.14 of its potential returns per unit of risk. Esso SAF is currently generating about -0.12 per unit of risk. If you would invest 17,914 in Samse SA on September 5, 2024 and sell it today you would lose (4,714) from holding Samse SA or give up 26.31% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Samse SA vs. Esso SAF
Performance |
| Timeline |
| Samse SA |
| Esso SAF |
Samse SA and Esso SAF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Samse SA and Esso SAF
The main advantage of trading using opposite Samse SA and Esso SAF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Samse SA position performs unexpectedly, Esso SAF 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 Esso SAF will offset losses from the drop in Esso SAF's long position.| Samse SA vs. SA Catana Group | Samse SA vs. Trigano SA | Samse SA vs. Bnteau SA | Samse SA vs. Piscines Desjoyaux SA |
| Esso SAF vs. Etablissements Maurel et | Esso SAF vs. Eramet SA | Esso SAF vs. Socit BIC SA | Esso SAF vs. TotalEnergies EP Gabon |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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