Correlation Between AB Science and Genfit
Can any of the company-specific risk be diversified away by investing in both AB Science and Genfit 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 AB Science and Genfit into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AB Science SA and Genfit, you can compare the effects of market volatilities on AB Science and Genfit 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 AB Science with a short position of Genfit. Check out your portfolio center. Please also check ongoing floating volatility patterns of AB Science and Genfit.
Diversification Opportunities for AB Science and Genfit
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between AB Science and Genfit is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding AB Science SA and Genfit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Genfit and AB Science 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 AB Science SA are associated (or correlated) with Genfit. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Genfit has no effect on the direction of AB Science i.e., AB Science and Genfit go up and down completely randomly.
Pair Corralation between AB Science and Genfit
Assuming the 90 days horizon AB Science SA is expected to under-perform the Genfit. But the stock apears to be less risky and, when comparing its historical volatility, AB Science SA is 1.75 times less risky than Genfit. The stock trades about -0.16 of its potential returns per unit of risk. The Genfit is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 373.00 in Genfit on September 6, 2024 and sell it today you would earn a total of 4.00 from holding Genfit or generate 1.07% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
AB Science SA vs. Genfit
Performance |
Timeline |
AB Science SA |
Genfit |
AB Science and Genfit Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with AB Science and Genfit
The main advantage of trading using opposite AB Science and Genfit positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AB Science position performs unexpectedly, Genfit 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 Genfit will offset losses from the drop in Genfit's long position.The idea behind AB Science SA and Genfit 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.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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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