Correlation Between Imerys SA and Compagnie

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

By analyzing existing cross correlation between Imerys SA and Compagnie de Saint Gobain, you can compare the effects of market volatilities on Imerys SA and Compagnie 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 Compagnie. Check out your portfolio center. Please also check ongoing floating volatility patterns of Imerys SA and Compagnie.

Diversification Opportunities for Imerys SA and Compagnie

0.14

Correlation Coefficient

Imerys SA  Compagnie

Average diversification

The 3 months correlation between Imerys and Compagnie is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Imerys SA and Compagnie de Saint Gobain in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Compagnie de Saint 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 Compagnie. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Compagnie de Saint has no effect on the direction of Imerys SA i.e., Imerys SA and Compagnie go up and down completely randomly.

Pair Corralation between Imerys SA and Compagnie

Assuming the 90 days horizon Imerys SA is expected to generate 24.32 times less return on investment than Compagnie. In addition to that, Imerys SA is 1.42 times more volatile than Compagnie de Saint Gobain. It trades about 0.0 of its total potential returns per unit of risk. Compagnie de Saint Gobain is currently generating about 0.15 per unit of volatility. If you would invest  7,802  in Compagnie de Saint Gobain on September 12, 2024 and sell it today you would earn a total of  1,116  from holding Compagnie de Saint Gobain or generate 14.3% return on investment over 90 days.

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

Imerys SA  vs.  Compagnie de Saint Gobain

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.

Compagnie de Saint

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Compagnie de Saint Gobain are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Compagnie sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Imerys SA and Compagnie

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

The idea behind Imerys SA and Compagnie de Saint Gobain 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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.