Correlation Between Stef SA and Rubis SCA

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

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

Diversification Opportunities for Stef SA and Rubis SCA

0.85

Correlation Coefficient

Stef SA  Rubis SCA

Very poor diversification

The 3 months correlation between Stef and Rubis is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Stef SA and Rubis SCA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Rubis SCA and Stef 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 Stef SA are associated (or correlated) with Rubis SCA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Rubis SCA has no effect on the direction of Stef SA i.e., Stef SA and Rubis SCA go up and down completely randomly.

Pair Corralation between Stef SA and Rubis SCA

Assuming the 90 days trading horizon Stef SA is expected to generate 2.04 times less return on investment than Rubis SCA. But when comparing it to its historical volatility, Stef SA is 1.21 times less risky than Rubis SCA. It trades about 0.12 of its potential returns per unit of risk. Rubis SCA is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  2,272  in Rubis SCA on November 29, 2024 and sell it today you would earn a total of  376.00  from holding Rubis SCA or generate 16.55% return on investment over 90 days.

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

Stef SA  vs.  Rubis SCA

Stef SA

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Stef SA are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak technical and fundamental indicators, Stef SA may actually be approaching a critical reversion point that can send shares even higher in March 2025.

Rubis SCA

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Rubis SCA are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak forward indicators, Rubis SCA sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Stef SA and Rubis SCA

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

The idea behind Stef SA and Rubis SCA 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.