Correlation Between Vallourec and Engie SA
Can any of the company-specific risk be diversified away by investing in both Vallourec and Engie 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 Vallourec and Engie SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vallourec and Engie SA, you can compare the effects of market volatilities on Vallourec and Engie 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 Vallourec with a short position of Engie SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vallourec and Engie SA.
Diversification Opportunities for Vallourec and Engie SA
Excellent diversification
The 3 months correlation between Vallourec and Engie is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Vallourec and Engie SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Engie SA and Vallourec 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 Vallourec are associated (or correlated) with Engie SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Engie SA has no effect on the direction of Vallourec i.e., Vallourec and Engie SA go up and down completely randomly.
Pair Corralation between Vallourec and Engie SA
Assuming the 90 days horizon Vallourec is expected to generate 4.63 times more return on investment than Engie SA. However, Vallourec is 4.63 times more volatile than Engie SA. It trades about 0.31 of its potential returns per unit of risk. Engie SA is currently generating about -0.19 per unit of risk. If you would invest 1,412 in Vallourec on August 27, 2024 and sell it today you would earn a total of 247.00 from holding Vallourec or generate 17.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vallourec vs. Engie SA
Performance |
| Timeline |
| Vallourec |
| Engie SA |
Vallourec and Engie SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vallourec and Engie SA
The main advantage of trading using opposite Vallourec and Engie SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vallourec position performs unexpectedly, Engie 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 Engie SA will offset losses from the drop in Engie SA's long position.| Vallourec vs. Alstom SA | Vallourec vs. Compagnie de Saint Gobain | Vallourec vs. Bouygues SA | Vallourec vs. Manitou BF SA |
| Engie SA vs. Orange SA | Engie SA vs. Veolia Environnement VE | Engie SA vs. AXA SA | Engie SA vs. TotalEnergies SE |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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