Correlation Between Assystem and ABC Arbitrage

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

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

Diversification Opportunities for Assystem and ABC Arbitrage

-0.83

Correlation Coefficient

Assystem  ABC Arbitrage

Pay attention - limited upside

The 3 months correlation between Assystem and ABC is -0.83. Overlapping area represents the amount of risk that can be diversified away by holding Assystem SA and ABC arbitrage SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ABC arbitrage SA and Assystem 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 Assystem SA are associated (or correlated) with ABC Arbitrage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ABC arbitrage SA has no effect on the direction of Assystem i.e., Assystem and ABC Arbitrage go up and down completely randomly.

Pair Corralation between Assystem and ABC Arbitrage

Assuming the 90 days trading horizon Assystem SA is expected to under-perform the ABC Arbitrage. In addition to that, Assystem is 2.11 times more volatile than ABC arbitrage SA. It trades about -0.14 of its total potential returns per unit of risk. ABC arbitrage SA is currently generating about 0.19 per unit of volatility. If you would invest  416.00  in ABC arbitrage SA on September 3, 2024 and sell it today you would earn a total of  70.00  from holding ABC arbitrage SA or generate 16.83% return on investment over 90 days.

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

Assystem SA  vs.  ABC arbitrage SA

Assystem SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Assystem SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

ABC arbitrage SA

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in ABC arbitrage SA are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, ABC Arbitrage sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Assystem and ABC Arbitrage

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

The idea behind Assystem SA and ABC arbitrage 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.