Correlation Between ABC Arbitrage and Assystem

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

By analyzing existing cross correlation between ABC arbitrage SA and Assystem SA, you can compare the effects of market volatilities on ABC Arbitrage and Assystem 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 ABC Arbitrage with a short position of Assystem. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABC Arbitrage and Assystem.

Diversification Opportunities for ABC Arbitrage and Assystem

-0.4

Correlation Coefficient

ABC Arbitrage  Assystem

Very good diversification

The 3 months correlation between ABC and Assystem is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding ABC arbitrage SA and Assystem SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Assystem SA and ABC Arbitrage 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 ABC arbitrage SA are associated (or correlated) with Assystem. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Assystem SA has no effect on the direction of ABC Arbitrage i.e., ABC Arbitrage and Assystem go up and down completely randomly.

Pair Corralation between ABC Arbitrage and Assystem

Assuming the 90 days trading horizon ABC arbitrage SA is expected to generate 0.31 times more return on investment than Assystem. However, ABC arbitrage SA is 3.18 times less risky than Assystem. It trades about 0.28 of its potential returns per unit of risk. Assystem SA is currently generating about -0.11 per unit of risk. If you would invest  476.00  in ABC arbitrage SA on December 30, 2024 and sell it today you would earn a total of  92.00  from holding ABC arbitrage SA or generate 19.33% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

ABC arbitrage SA  vs.  Assystem SA

ABC arbitrage SA

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in ABC arbitrage SA are ranked lower than 22 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, ABC Arbitrage sustained solid returns over the last few months and may actually be approaching a breakup point.

Assystem SA

Risk-Adjusted Performance

Very Weak

Over the last 90 days Assystem SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with ABC Arbitrage and Assystem

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

The idea behind ABC arbitrage SA and Assystem SA 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.