Correlation Between SISF BRIC and Groupama Entreprises
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By analyzing existing cross correlation between SISF BRIC AC and Groupama Entreprises N, you can compare the effects of market volatilities on SISF BRIC and Groupama Entreprises 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 SISF BRIC with a short position of Groupama Entreprises. Check out your portfolio center. Please also check ongoing floating volatility patterns of SISF BRIC and Groupama Entreprises.
Diversification Opportunities for SISF BRIC and Groupama Entreprises
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SISF and Groupama is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding SISF BRIC AC and Groupama Entreprises N in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Groupama Entreprises and SISF BRIC 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 SISF BRIC AC are associated (or correlated) with Groupama Entreprises. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Groupama Entreprises has no effect on the direction of SISF BRIC i.e., SISF BRIC and Groupama Entreprises go up and down completely randomly.
Pair Corralation between SISF BRIC and Groupama Entreprises
Assuming the 90 days trading horizon SISF BRIC AC is expected to generate 87.78 times more return on investment than Groupama Entreprises. However, SISF BRIC is 87.78 times more volatile than Groupama Entreprises N. It trades about 0.06 of its potential returns per unit of risk. Groupama Entreprises N is currently generating about 0.97 per unit of risk. If you would invest 18,595 in SISF BRIC AC on September 3, 2024 and sell it today you would earn a total of 2,553 from holding SISF BRIC AC or generate 13.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 40.28% |
| Values | Daily Returns |
SISF BRIC AC vs. Groupama Entreprises N
Performance |
| Timeline |
| SISF BRIC AC |
| Groupama Entreprises |
SISF BRIC and Groupama Entreprises Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SISF BRIC and Groupama Entreprises
The main advantage of trading using opposite SISF BRIC and Groupama Entreprises positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SISF BRIC position performs unexpectedly, Groupama Entreprises 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 Groupama Entreprises will offset losses from the drop in Groupama Entreprises' long position.| SISF BRIC vs. Groupama Entreprises N | SISF BRIC vs. Renaissance Europe C | SISF BRIC vs. Superior Plus Corp | SISF BRIC vs. Origin Agritech |
| Groupama Entreprises vs. Xtrackers ShortDAX | Groupama Entreprises vs. Xtrackers LevDAX | Groupama Entreprises vs. Lyxor 1 |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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