Pair Correlation Between Petrobras Argentina and TOTAL SA

  
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 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. Please also check ongoing floating volatility patterns of Petrobras Argentina and TOTAL SA.
 Petrobras Argentina SA  vs   TOTAL S.A.
Daily Returns (%)
PZE   TOT   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Petrobras Argentina SA is expected to under-perform the TOTAL SA. But the stock apears to be less risky and, when comparing its historical volatility, Petrobras Argentina SA is 1.58 times less risky than TOTAL SA. The stock trades about -0.03 of its potential returns per unit of risk. The TOTAL SA is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest  4,443  in TOTAL SA on April 3, 2016 and sell it today you would earn a total of  480.00  from holding TOTAL SA or generate 10.8% return on investment over 30 days.

Correlation Coefficient

0.26

Parameters

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

Diversification

Modest 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

Historical Performance Chart

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.80 (0.07) 0.00 (0.11) 0.00 (0.13) 0.00  1.27 (1.68) 3.49 
 1.14  0.66  0.53 (2.98) 0.00  0.39 (1.44) 2.87 (1.30) 4.23 

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.

Pair trading matchups for Petrobras Argentina

  

TOTAL SA

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in TOTAL SA are ranked lower than 19 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for TOTAL SA