Pair Correlation Between Petrobras Argentina and TOTAL SA

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
 Petrobras Argentina SA  vs   TOTAL S.A.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, Petrobras Argentina SA is expected to under-perform the TOTAL SA. In addition to that, Petrobras Argentina is 2.07 times more volatile than TOTAL SA. It trades about -0.46 of its total potential returns per unit of risk. TOTAL SA is currently generating about 0.13 per unit of volatility. If you would invest  4,752  in TOTAL SA on November 8, 2016 and sell it today you would earn a total of  161.00  from holding TOTAL SA or generate 3.39% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Petrobras Argentina and TOTAL SA
0.5

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak 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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 2.12 (1.29) 0.00 (5.49) 0.00 (0.59) 0.00  2.18 (5.71) 7.63 
 0.91  0.26 (0.09)(0.46) 1.05 (0.10)(0.93) 2.27 (1.60) 4.43 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Petrobras Argentina SA

  

Risk-adjusted Performance

Over the last 30 days Petrobras Argentina SA has generated negative risk-adjusted returns adding no value to investors with long positions.

TOTAL SA

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in TOTAL SA are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.