Correlation Between Dassault Systemes and Lisi SA
Can any of the company-specific risk be diversified away by investing in both Dassault Systemes and Lisi 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 Dassault Systemes and Lisi SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dassault Systemes SE and Lisi SA, you can compare the effects of market volatilities on Dassault Systemes and Lisi 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 Dassault Systemes with a short position of Lisi SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dassault Systemes and Lisi SA.
Diversification Opportunities for Dassault Systemes and Lisi SA
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Dassault and Lisi is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Dassault Systemes SE and Lisi SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lisi SA and Dassault Systemes 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 Dassault Systemes SE are associated (or correlated) with Lisi SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lisi SA has no effect on the direction of Dassault Systemes i.e., Dassault Systemes and Lisi SA go up and down completely randomly.
Pair Corralation between Dassault Systemes and Lisi SA
Assuming the 90 days trading horizon Dassault Systemes SE is expected to generate 0.89 times more return on investment than Lisi SA. However, Dassault Systemes SE is 1.12 times less risky than Lisi SA. It trades about -0.01 of its potential returns per unit of risk. Lisi SA is currently generating about -0.08 per unit of risk. If you would invest 3,437 in Dassault Systemes SE on September 28, 2024 and sell it today you would lose (92.00) from holding Dassault Systemes SE or give up 2.68% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Dassault Systemes SE vs. Lisi SA
Performance |
Timeline |
Dassault Systemes |
Lisi SA |
Dassault Systemes and Lisi SA Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Dassault Systemes and Lisi SA
The main advantage of trading using opposite Dassault Systemes and Lisi SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dassault Systemes position performs unexpectedly, Lisi 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 Lisi SA will offset losses from the drop in Lisi SA's long position.Dassault Systemes vs. Immersion SA | Dassault Systemes vs. Munic SA | Dassault Systemes vs. Energisme | Dassault Systemes vs. Coheris SA |
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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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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