Benchmark  United States  NYSE  10,817   34.7812  0.3226% 


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Correlation analysis between Petrobras and Total

    
  
Summary
Performance
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   Valuation
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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   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Petrobras Argentina SA is expected to under-perform the Total. In addition to that, Petrobras is 1.24 times more volatile than Total SA. It trades about -0.19 of its total potential returns per unit of risk. Total SA is currently generating about -0.16 per unit of volatility. If you would invest  4,977  in Total SA on June 7, 2015 and sell it today you would lose (297.99) from holding Total SA or give up 5.99% of portfolio value over 30 days.

Correlation Coefficient

0.02

Parameters

Time Period1 Month [change]
DirectionPositive TOT Moved Up vs PZE
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Significant 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

Historical Performance Chart

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

Exxon Mobil Corporation vs. Petrobras Argentina SA
Chevron Corporation vs. Petrobras Argentina SA
Total SA vs. Petrobras Argentina SA
Eni SpA vs. Petrobras Argentina SA
  

Total SA

  

Risk-adjusted Performance

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

Pair trading matchups for Total

Exxon Mobil Corporation vs. Total SA
Chevron Corporation vs. Total SA
Eni SpA vs. Total SA