Correlation Between Gascogne and Robertet

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

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

Diversification Opportunities for Gascogne and Robertet

0.82

Correlation Coefficient

Gascogne  Robertet

Very poor diversification

The 3 months correlation between Gascogne and Robertet is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Gascogne SA and Robertet SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Robertet SA and Gascogne 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 Gascogne SA are associated (or correlated) with Robertet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Robertet SA has no effect on the direction of Gascogne i.e., Gascogne and Robertet go up and down completely randomly.

Pair Corralation between Gascogne and Robertet

Assuming the 90 days trading horizon Gascogne SA is expected to generate 2.43 times more return on investment than Robertet. However, Gascogne is 2.43 times more volatile than Robertet SA. It trades about -0.04 of its potential returns per unit of risk. Robertet SA is currently generating about -0.12 per unit of risk. If you would invest  273.00  in Gascogne SA on September 16, 2024 and sell it today you would lose (27.00) from holding Gascogne SA or give up 9.89% of portfolio value over 90 days.

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

Gascogne SA  vs.  Robertet SA

Gascogne SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gascogne SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Robertet SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Robertet SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Pair Trading with Gascogne and Robertet

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

The idea behind Gascogne SA and Robertet 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 Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.