Pair Correlation Between Petrobras Argentina and TOTAL S |
This module allows you to analyze existing cross correlation between Petrobras Argentina S A and TOTAL S A. You can compare the effects of market volatilities on Petrobras Argentina and TOTAL S 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 S. See also your portfolio center. Please also check ongoing floating volatility patterns of Petrobras Argentina and TOTAL S.
| Investment Horizon | 30 Days Login to change |
| Symbols | vs |
Pair Volatility
Considering 30-days investment horizon, Petrobras Argentina S A is expected to generate 2.66 times more return on investment than TOTAL S. However, Petrobras Argentina is 2.66 times more volatile than TOTAL S A. It trades about -0.1 of its potential returns per unit of risk. TOTAL S A is currently generating about -0.26 per unit of risk. If you would invest 1,272 in Petrobras Argentina S A on May 29, 2017 and sell it today you would lose (73.00) from holding Petrobras Argentina S A or give up 5.74% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Petrobras Argentina and TOTAL S
0.64
Parameters
| Time Period | 1 Month [change] |
| Direction | Positive |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Diversification
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Petrobras Argentina S A and TOTAL S A in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on TOTAL S A 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 S A are associated (or correlated) with TOTAL S. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TOTAL S A has no effect on the direction of Petrobras Argentina i.e. Petrobras Argentina and TOTAL S go up and down completely randomly.
Comparative Volatility
Petrobras Argentina S |
0 Risk-Adjusted Performance
Risk-Adjusted PerformanceOver the last 30 days Petrobras Argentina S A has generated negative risk-adjusted returns adding no value to investors with long positions.
Petrobras Argentina S A
Pair trading matchups for Petrobras Argentina
TOTAL S A |
0 Risk-Adjusted Performance
Risk-Adjusted PerformanceOver the last 30 days TOTAL S A has generated negative risk-adjusted returns adding no value to investors with long positions.
TOTAL S A
Pair trading matchups for TOTAL S