Correlation Between Samse SA and Saint Jean
Can any of the company-specific risk be diversified away by investing in both Samse SA and Saint Jean 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 Saint Jean into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Samse SA and Saint Jean Groupe, you can compare the effects of market volatilities on Samse SA and Saint Jean 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 Saint Jean. Check out your portfolio center. Please also check ongoing floating volatility patterns of Samse SA and Saint Jean.
Diversification Opportunities for Samse SA and Saint Jean
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Samse and Saint is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Samse SA and Saint Jean Groupe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saint Jean Groupe 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 Saint Jean. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saint Jean Groupe has no effect on the direction of Samse SA i.e., Samse SA and Saint Jean go up and down completely randomly.
Pair Corralation between Samse SA and Saint Jean
Assuming the 90 days trading horizon Samse SA is expected to under-perform the Saint Jean. But the stock apears to be less risky and, when comparing its historical volatility, Samse SA is 1.15 times less risky than Saint Jean. The stock trades about -0.11 of its potential returns per unit of risk. The Saint Jean Groupe is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 2,049 in Saint Jean Groupe on August 30, 2024 and sell it today you would lose (79.00) from holding Saint Jean Groupe or give up 3.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.22% |
| Values | Daily Returns |
Samse SA vs. Saint Jean Groupe
Performance |
| Timeline |
| Samse SA |
| Saint Jean Groupe |
Samse SA and Saint Jean Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Samse SA and Saint Jean
The main advantage of trading using opposite Samse SA and Saint Jean positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Samse SA position performs unexpectedly, Saint Jean 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 Saint Jean will offset losses from the drop in Saint Jean's long position.The idea behind Samse SA and Saint Jean Groupe pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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