Correlation Between Samse SA and SPIE SA
Can any of the company-specific risk be diversified away by investing in both Samse SA and SPIE 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 Samse SA and SPIE SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Samse SA and SPIE SA, you can compare the effects of market volatilities on Samse SA and SPIE 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 Samse SA with a short position of SPIE SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Samse SA and SPIE SA.
Diversification Opportunities for Samse SA and SPIE SA
Poor diversification
The 3 months correlation between Samse and SPIE is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Samse SA and SPIE SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPIE SA 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 SPIE SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPIE SA has no effect on the direction of Samse SA i.e., Samse SA and SPIE SA go up and down completely randomly.
Pair Corralation between Samse SA and SPIE SA
Assuming the 90 days trading horizon Samse SA is expected to under-perform the SPIE SA. But the stock apears to be less risky and, when comparing its historical volatility, Samse SA is 1.09 times less risky than SPIE SA. The stock trades about -0.08 of its potential returns per unit of risk. The SPIE SA is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,755 in SPIE SA on September 14, 2024 and sell it today you would earn a total of 257.00 from holding SPIE SA or generate 9.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Samse SA vs. SPIE SA
Performance |
| Timeline |
| Samse SA |
| SPIE SA |
Samse SA and SPIE SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Samse SA and SPIE SA
The main advantage of trading using opposite Samse SA and SPIE SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Samse SA position performs unexpectedly, SPIE 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 SPIE SA will offset losses from the drop in SPIE SA's long position.The idea behind Samse SA and SPIE SA 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 Transaction History module to view history of all your transactions and understand their impact on performance.
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