Correlation Between Algebris UCITS and Groupama Entreprises

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

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

Diversification Opportunities for Algebris UCITS and Groupama Entreprises

0.19

Correlation Coefficient

Algebris UCITS  Groupama Entreprises

Average diversification

The 3 months correlation between Algebris and Groupama is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Algebris UCITS Funds and Groupama Entreprises N in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Groupama Entreprises and Algebris UCITS 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 Algebris UCITS Funds 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 Algebris UCITS i.e., Algebris UCITS and Groupama Entreprises go up and down completely randomly.

Pair Corralation between Algebris UCITS and Groupama Entreprises

Assuming the 90 days trading horizon Algebris UCITS Funds is expected to generate 10.43 times more return on investment than Groupama Entreprises. However, Algebris UCITS is 10.43 times more volatile than Groupama Entreprises N. It trades about 0.12 of its potential returns per unit of risk. Groupama Entreprises N is currently generating about 1.0 per unit of risk. If you would invest  14,811  in Algebris UCITS Funds on September 22, 2024 and sell it today you would earn a total of  142.00  from holding Algebris UCITS Funds or generate 0.96% return on investment over 90 days.

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

Algebris UCITS Funds  vs.  Groupama Entreprises N

Algebris UCITS Funds

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 9 (%) 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.

Groupama Entreprises

Risk-Adjusted Performance

78 of 100

Market Crasher

Compared to the overall equity markets, risk-adjusted returns on investments in Groupama Entreprises N are ranked lower than 78 (%) 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.

Pair Trading with Algebris UCITS and Groupama Entreprises

The main advantage of trading using opposite Algebris UCITS and Groupama Entreprises positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Algebris UCITS 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.

The idea behind Algebris UCITS Funds and Groupama Entreprises N 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.