Correlation Between Societe Generale and Dow Jones
Can any of the company-specific risk be diversified away by investing in both Societe Generale and Dow Jones 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 Societe Generale and Dow Jones into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Societe Generale ADR and Dow Jones Industrial, you can compare the effects of market volatilities on Societe Generale and Dow Jones 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 Societe Generale with a short position of Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of Societe Generale and Dow Jones.
Diversification Opportunities for Societe Generale and Dow Jones
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Societe and Dow is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Societe Generale ADR and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial and Societe Generale 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 Societe Generale ADR are associated (or correlated) with Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of Societe Generale i.e., Societe Generale and Dow Jones go up and down completely randomly.
Pair Corralation between Societe Generale and Dow Jones
Assuming the 90 days horizon Societe Generale ADR is expected to under-perform the Dow Jones. In addition to that, Societe Generale is 1.63 times more volatile than Dow Jones Industrial. It trades about -0.43 of its total potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.29 per unit of volatility. If you would invest 4,222,188 in Dow Jones Industrial on September 6, 2024 and sell it today you would earn a total of 254,383 from holding Dow Jones Industrial or generate 6.02% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 95.45% |
Values | Daily Returns |
Societe Generale ADR vs. Dow Jones Industrial
Performance |
Timeline |
Societe Generale and Dow Jones Volatility Contrast
Predicted Return Density |
Returns |
Societe Generale ADR
Pair trading matchups for Societe Generale
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with Societe Generale and Dow Jones
The main advantage of trading using opposite Societe Generale and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Societe Generale position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.Societe Generale vs. BNP Paribas SA | Societe Generale vs. Credit Agricole SA | Societe Generale vs. Intesa Sanpaolo SpA | Societe Generale vs. Commerzbank AG PK |
Dow Jones vs. NI Holdings | Dow Jones vs. GMS Inc | Dow Jones vs. QBE Insurance Group | Dow Jones vs. Direct Line Insurance |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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