Correlation Between Samse SA and Stef SA

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

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

Diversification Opportunities for Samse SA and Stef SA

0.12

Correlation Coefficient

Samse SA  Stef SA

Average diversification

The 3 months correlation between Samse and Stef is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding Samse SA and Stef SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stef SA and Samse 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 Samse SA are associated (or correlated) with Stef SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stef SA has no effect on the direction of Samse SA i.e., Samse SA and Stef SA go up and down completely randomly.

Pair Corralation between Samse SA and Stef SA

Assuming the 90 days trading horizon Samse SA is expected to generate 0.81 times more return on investment than Stef SA. However, Samse SA is 1.24 times less risky than Stef SA. It trades about 0.03 of its potential returns per unit of risk. Stef SA is currently generating about -0.06 per unit of risk. If you would invest  14,350  in Samse SA on December 29, 2024 and sell it today you would earn a total of  250.00  from holding Samse SA or generate 1.74% return on investment over 90 days.

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

Samse SA  vs.  Stef SA

Samse SA

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Samse SA are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Samse SA is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Stef SA

Risk-Adjusted Performance

Very Weak

Over the last 90 days Stef SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong technical and fundamental indicators, Stef SA is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Samse SA and Stef SA

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

The idea behind Samse SA and Stef 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.