Correlation Between Compagnie and JAMES HARDIE
Can any of the company-specific risk be diversified away by investing in both Compagnie and JAMES HARDIE 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 Compagnie and JAMES HARDIE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Compagnie de Saint Gobain and JAMES HARDIE INDUSTADR1, you can compare the effects of market volatilities on Compagnie and JAMES HARDIE 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 Compagnie with a short position of JAMES HARDIE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Compagnie and JAMES HARDIE.
Diversification Opportunities for Compagnie and JAMES HARDIE
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Compagnie and JAMES is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Compagnie de Saint Gobain and JAMES HARDIE INDUSTADR1 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JAMES HARDIE INDUSTADR1 and Compagnie 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 Compagnie de Saint Gobain are associated (or correlated) with JAMES HARDIE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JAMES HARDIE INDUSTADR1 has no effect on the direction of Compagnie i.e., Compagnie and JAMES HARDIE go up and down completely randomly.
Pair Corralation between Compagnie and JAMES HARDIE
Assuming the 90 days horizon Compagnie de Saint Gobain is expected to generate 0.25 times more return on investment than JAMES HARDIE. However, Compagnie de Saint Gobain is 3.94 times less risky than JAMES HARDIE. It trades about 0.04 of its potential returns per unit of risk. JAMES HARDIE INDUSTADR1 is currently generating about -0.02 per unit of risk. If you would invest 8,198 in Compagnie de Saint Gobain on September 24, 2024 and sell it today you would earn a total of 220.00 from holding Compagnie de Saint Gobain or generate 2.68% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Compagnie de Saint Gobain vs. JAMES HARDIE INDUSTADR1
Performance |
Timeline |
Compagnie de Saint |
JAMES HARDIE INDUSTADR1 |
Compagnie and JAMES HARDIE Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Compagnie and JAMES HARDIE
The main advantage of trading using opposite Compagnie and JAMES HARDIE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Compagnie position performs unexpectedly, JAMES HARDIE 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 JAMES HARDIE will offset losses from the drop in JAMES HARDIE's long position.Compagnie vs. Daikin IndustriesLtd | Compagnie vs. Vulcan Materials | Compagnie vs. Anhui Conch Cement | Compagnie vs. Martin Marietta Materials |
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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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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