Pair Correlation Between Petrobras Argentina and TOTAL SA |
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This module allows you to analyze existing cross correlation between Petrobras Argentina SA and TOTAL SA. You can compare the effects of market volatilities on Petrobras Argentina and TOTAL SA 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 Petrobras Argentina with a short position of TOTAL SA. See also your portfolio center.Please also check ongoing floating volatility patterns of Petrobras Argentina and TOTAL SA.
| Investment Horizon | 30 Days Login to change |
Pair Volatility
Considering 30-days investment horizon, Petrobras Argentina SA is expected to generate 0.52 times more return on investment than TOTAL SA. However, Petrobras Argentina SA is 1.91 times less risky than TOTAL SA. It trades about 0.31 of its potential returns per unit of risk. TOTAL SA is currently generating about -0.15 per unit of risk. If you would invest 618.00 in Petrobras Argentina SA on August 28, 2016 and sell it today you would earn a total of 33.00 from holding Petrobras Argentina SA or generate 5.34% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Petrobras Argentina and TOTAL SA
0.74
Parameters
| Time Period | 1 Month [change] |
| Direction | Positive |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Diversification
Poor diversification
Overlapping area represents amount of risk that can be diversified away by holding Petrobras Argentina SA and TOTAL S.A. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on TOTAL SA and Petrobras Argentina 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 Petrobras Argentina SA are associated (or correlated) with TOTAL SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TOTAL SA has no effect on the direction of Petrobras Argentina i.e. Petrobras Argentina and TOTAL SA go up and down completely randomly.
Pair indicators
| MeanDeviation | JensenAlpha | SortinoRatio | TreynorRatio | SemiDeviation | InformationRatio | ExpectedShortfall | PotentialUpside | ValueAt Risk | MaximumDrawdown | ||
| 0.69 | 0.26 | 0.39 | 2.26 | 0.38 | 0.37 | (0.91) | 1.44 | (0.91) | 2.67 | ||
| 1.22 | (0.24) | 0.00 | (1.68) | 0.00 | (0.14) | 0.00 | 2.01 | (2.70) | 5.66 |
Comparative Volatility
Petrobras Argentina SA |
Risk-adjusted PerformanceCompared to the overall equity markets, risk-adjusted returns on investments in Petrobras Argentina SA are ranked lower than 21 (%) of all global equities and portfolios over the last 30 days.
Petrobras Argentina SA
Pair trading matchups for Petrobras Argentina
TOTAL SA |
Risk-adjusted PerformanceOver the last 30 days TOTAL SA has generated negative risk-adjusted returns adding no value to investors with long positions.
TOTAL SA
Pair trading matchups for TOTAL SA