Correlation Between CHINA STATE and ENGIE Eps
Can any of the company-specific risk be diversified away by investing in both CHINA STATE and ENGIE Eps 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 CHINA STATE and ENGIE Eps into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CHINA STATE STRU and ENGIE Eps SA, you can compare the effects of market volatilities on CHINA STATE and ENGIE Eps 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 CHINA STATE with a short position of ENGIE Eps. Check out your portfolio center. Please also check ongoing floating volatility patterns of CHINA STATE and ENGIE Eps.
Diversification Opportunities for CHINA STATE and ENGIE Eps
-0.38 | Correlation Coefficient |
Very good diversification
The 3 months correlation between CHINA and ENGIE is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding CHINA STATE STRU and ENGIE Eps SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ENGIE Eps SA and CHINA STATE 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 CHINA STATE STRU are associated (or correlated) with ENGIE Eps. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ENGIE Eps SA has no effect on the direction of CHINA STATE i.e., CHINA STATE and ENGIE Eps go up and down completely randomly.
Pair Corralation between CHINA STATE and ENGIE Eps
Assuming the 90 days trading horizon CHINA STATE STRU is expected to generate 1.89 times more return on investment than ENGIE Eps. However, CHINA STATE is 1.89 times more volatile than ENGIE Eps SA. It trades about 0.1 of its potential returns per unit of risk. ENGIE Eps SA is currently generating about 0.08 per unit of risk. If you would invest 92.00 in CHINA STATE STRU on September 27, 2024 and sell it today you would earn a total of 43.00 from holding CHINA STATE STRU or generate 46.74% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 92.91% |
Values | Daily Returns |
CHINA STATE STRU vs. ENGIE Eps SA
Performance |
Timeline |
CHINA STATE STRU |
ENGIE Eps SA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
OK
CHINA STATE and ENGIE Eps Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with CHINA STATE and ENGIE Eps
The main advantage of trading using opposite CHINA STATE and ENGIE Eps positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CHINA STATE position performs unexpectedly, ENGIE Eps 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 Eps will offset losses from the drop in ENGIE Eps' long position.The idea behind CHINA STATE STRU and ENGIE Eps 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.ENGIE Eps vs. SIEMENS AG SP | ENGIE Eps vs. Siemens Aktiengesellschaft | ENGIE Eps vs. Schneider Electric SE | ENGIE Eps vs. Atlas Copco A |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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