Correlation Between Societe Generale and Western Asset
Can any of the company-specific risk be diversified away by investing in both Societe Generale and Western Asset 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 Western Asset 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 Western Asset Global, you can compare the effects of market volatilities on Societe Generale and Western Asset 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 Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Societe Generale and Western Asset.
Diversification Opportunities for Societe Generale and Western Asset
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Societe and Western is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding Societe Generale ADR and Western Asset Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset Global 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 Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset Global has no effect on the direction of Societe Generale i.e., Societe Generale and Western Asset go up and down completely randomly.
Pair Corralation between Societe Generale and Western Asset
Assuming the 90 days horizon Societe Generale ADR is expected to under-perform the Western Asset. In addition to that, Societe Generale is 2.57 times more volatile than Western Asset Global. It trades about -0.43 of its total potential returns per unit of risk. Western Asset Global is currently generating about 0.0 per unit of volatility. If you would invest 1,179 in Western Asset Global on September 6, 2024 and sell it today you would earn a total of 0.00 from holding Western Asset Global or generate 0.0% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 95.45% |
Values | Daily Returns |
Societe Generale ADR vs. Western Asset Global
Performance |
Timeline |
Societe Generale ADR |
Western Asset Global |
Societe Generale and Western Asset Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Societe Generale and Western Asset
The main advantage of trading using opposite Societe Generale and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Societe Generale position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's 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 |
Western Asset vs. Western Asset High | Western Asset vs. Western Asset Global | Western Asset vs. European Equity Closed | Western Asset vs. Doubleline Opportunistic Credit |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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