Correlation Between Vivendi SA and Eramet SA
Can any of the company-specific risk be diversified away by investing in both Vivendi SA and Eramet 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 Vivendi SA and Eramet SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vivendi SA and Eramet SA, you can compare the effects of market volatilities on Vivendi SA and Eramet 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 Vivendi SA with a short position of Eramet SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vivendi SA and Eramet SA.
Diversification Opportunities for Vivendi SA and Eramet SA
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Vivendi and Eramet is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Vivendi SA and Eramet SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eramet SA and Vivendi 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 Vivendi SA are associated (or correlated) with Eramet SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eramet SA has no effect on the direction of Vivendi SA i.e., Vivendi SA and Eramet SA go up and down completely randomly.
Pair Corralation between Vivendi SA and Eramet SA
Assuming the 90 days trading horizon Vivendi SA is expected to under-perform the Eramet SA. But the stock apears to be less risky and, when comparing its historical volatility, Vivendi SA is 1.7 times less risky than Eramet SA. The stock trades about -0.38 of its potential returns per unit of risk. The Eramet SA is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 5,405 in Eramet SA on September 1, 2024 and sell it today you would lose (340.00) from holding Eramet SA or give up 6.29% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vivendi SA vs. Eramet SA
Performance |
| Timeline |
| Vivendi SA |
| Eramet SA |
Vivendi SA and Eramet SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vivendi SA and Eramet SA
The main advantage of trading using opposite Vivendi SA and Eramet SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vivendi SA position performs unexpectedly, Eramet 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 Eramet SA will offset losses from the drop in Eramet SA's long position.| Vivendi SA vs. Vinci SA | Vivendi SA vs. Compagnie de Saint Gobain | Vivendi SA vs. Bouygues SA | Vivendi SA vs. Carrefour 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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