Correlation Between Imerys SA and SCOR SE

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

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

Diversification Opportunities for Imerys SA and SCOR SE

-0.12

Correlation Coefficient

Imerys SA  SCOR SE

Good diversification

The 3 months correlation between Imerys and SCOR is -0.12. Overlapping area represents the amount of risk that can be diversified away by holding Imerys SA and SCOR SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCOR SE and Imerys SA 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 Imerys SA are associated (or correlated) with SCOR SE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCOR SE has no effect on the direction of Imerys SA i.e., Imerys SA and SCOR SE go up and down completely randomly.

Pair Corralation between Imerys SA and SCOR SE

Assuming the 90 days horizon Imerys SA is expected to under-perform the SCOR SE. But the stock apears to be less risky and, when comparing its historical volatility, Imerys SA is 1.1 times less risky than SCOR SE. The stock trades about -0.04 of its potential returns per unit of risk. The SCOR SE is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  1,884  in SCOR SE on September 4, 2024 and sell it today you would earn a total of  454.00  from holding SCOR SE or generate 24.1% return on investment over 90 days.

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

Imerys SA  vs.  SCOR SE

Imerys SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Imerys SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Imerys SA is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

SCOR SE

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in SCOR SE are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, SCOR SE sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Imerys SA and SCOR SE

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

The idea behind Imerys SA and SCOR SE 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.

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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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.