Correlation Between Sapmer and Danone SA

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

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

Diversification Opportunities for Sapmer and Danone SA

0.1

Correlation Coefficient

Sapmer  Danone SA

Average diversification

The 3 months correlation between Sapmer and Danone is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Sapmer and Danone SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Danone SA and Sapmer 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 Sapmer are associated (or correlated) with Danone SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Danone SA has no effect on the direction of Sapmer i.e., Sapmer and Danone SA go up and down completely randomly.

Pair Corralation between Sapmer and Danone SA

Assuming the 90 days trading horizon Sapmer is expected to generate 4.05 times more return on investment than Danone SA. However, Sapmer is 4.05 times more volatile than Danone SA. It trades about 0.03 of its potential returns per unit of risk. Danone SA is currently generating about -0.02 per unit of risk. If you would invest  740.00  in Sapmer on September 9, 2024 and sell it today you would earn a total of  25.00  from holding Sapmer or generate 3.38% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.48%
Values	Daily Returns

Sapmer  vs.  Danone SA

Sapmer

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Sapmer are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Sapmer is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Danone SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Danone SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Danone 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 Sapmer and Danone SA

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

The idea behind Sapmer and Danone 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.

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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.