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Correlation analysis between Petrobras and Total

Investment horizon:

30 Days Login to change

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 and Total 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 with a short position of Total. Please also check ongoing floating volatility patterns of Petrobras and Total.

Petrobras Argentina SA vs Total SA

Daily Returns (%)

PZE

TOT

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Timeline

Considering 30-days investment horizon, Petrobras Argentina SA is expected to generate 2.42 times more return on investment than Total. However, Petrobras is 2.42 times more volatile than Total SA. It trades about 0.05 of its potential returns per unit of risk. Total SA is currently generating about -0.3 per unit of risk. If you would invest 657 in Petrobras Argentina SA on July 3, 2014 and sell it today you would earn a total of 16.00 from holding Petrobras Argentina SA or generate 2.44% return on investment over 30 days.

Diversification

Average diversification

Overlapping area represents amount of risk that can be diversified away by holding Petrobras Argentina SA and Total SA in the same portfolio assuming nothing else is changed

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Correlation Coefficient

0.16

Parameters

Time Period	1 Month [change]
Direction	Positive
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

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Historical Performance Chart

Tangent Of Price Move

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
PZE	2.91	(0.53)	0.00	(0.03)	0.00	0.08	0.00	5.54	(6.40)	15.34	Backtest
TOT	1.28	(0.13)	0.00	(0.25)	0.00	(0.19)	0.00	2.02	(3.20)	6.34	Backtest

Comparative Volatility

Predicted Return Density

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Returns:

PZE

TOT

Petrobras Argentina SA

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Correlation

Profile

Compared with the overall equity markets, risk-adjusted returns on investments in Petrobras Argentina SA are ranked lower than 2 (%) of all global equities and portfolios over the last 30 days.

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