Correlation Between Imerys SA and Publicis Groupe

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

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

Diversification Opportunities for Imerys SA and Publicis Groupe

-0.73

Correlation Coefficient

Imerys SA  Publicis Groupe

Pay attention - limited upside

The 3 months correlation between Imerys and Publicis is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding Imerys SA and Publicis Groupe SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Publicis Groupe SA and Imerys SA 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 Imerys SA are associated (or correlated) with Publicis Groupe. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Publicis Groupe SA has no effect on the direction of Imerys SA i.e., Imerys SA and Publicis Groupe go up and down completely randomly.

Pair Corralation between Imerys SA and Publicis Groupe

Assuming the 90 days horizon Imerys SA is expected to generate 1.98 times more return on investment than Publicis Groupe. However, Imerys SA is 1.98 times more volatile than Publicis Groupe SA. It trades about 0.08 of its potential returns per unit of risk. Publicis Groupe SA is currently generating about -0.13 per unit of risk. If you would invest  2,772  in Imerys SA on December 30, 2024 and sell it today you would earn a total of  358.00  from holding Imerys SA or generate 12.91% return on investment over 90 days.

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

Imerys SA  vs.  Publicis Groupe SA

Imerys SA

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Imerys SA are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Imerys SA sustained solid returns over the last few months and may actually be approaching a breakup point.

Publicis Groupe SA

Risk-Adjusted Performance

Very Weak

Over the last 90 days Publicis Groupe SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's fundamental drivers 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 Imerys SA and Publicis Groupe

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

The idea behind Imerys SA and Publicis Groupe 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.