Correlation Between Groupama Entreprises and Algebris UCITS

Can any of the company-specific risk be diversified away by investing in both Groupama Entreprises and Algebris UCITS 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 Groupama Entreprises and Algebris UCITS into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Groupama Entreprises N and Algebris UCITS Funds, you can compare the effects of market volatilities on Groupama Entreprises and Algebris UCITS 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 Groupama Entreprises with a short position of Algebris UCITS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Groupama Entreprises and Algebris UCITS.

Diversification Opportunities for Groupama Entreprises and Algebris UCITS

0.19

Correlation Coefficient

Groupama Entreprises  Algebris UCITS

Average diversification

The 3 months correlation between Groupama and Algebris is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Groupama Entreprises N and Algebris UCITS Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Algebris UCITS Funds and Groupama Entreprises 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 Groupama Entreprises N are associated (or correlated) with Algebris UCITS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Algebris UCITS Funds has no effect on the direction of Groupama Entreprises i.e., Groupama Entreprises and Algebris UCITS go up and down completely randomly.

Pair Corralation between Groupama Entreprises and Algebris UCITS

Assuming the 90 days trading horizon Groupama Entreprises is expected to generate 2.34 times less return on investment than Algebris UCITS. But when comparing it to its historical volatility, Groupama Entreprises N is 21.75 times less risky than Algebris UCITS. It trades about 0.98 of its potential returns per unit of risk. Algebris UCITS Funds is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  12,777  in Algebris UCITS Funds on October 4, 2024 and sell it today you would earn a total of  2,158  from holding Algebris UCITS Funds or generate 16.89% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Groupama Entreprises N  vs.  Algebris UCITS Funds

Groupama Entreprises

Risk-Adjusted Performance

74 of 100

Market Crasher

Compared to the overall equity markets, risk-adjusted returns on investments in Groupama Entreprises N are ranked lower than 74 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Groupama Entreprises is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Algebris UCITS Funds

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Algebris UCITS is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Groupama Entreprises and Algebris UCITS

The main advantage of trading using opposite Groupama Entreprises and Algebris UCITS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Groupama Entreprises position performs unexpectedly, Algebris UCITS 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 Algebris UCITS will offset losses from the drop in Algebris UCITS's long position.

The idea behind Groupama Entreprises N and Algebris UCITS Funds 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.

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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 Valuation module to check real value of public entities based on technical and fundamental data.