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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 1.5 times more return on investment than Total. However, Petrobras is 1.5 times more volatile than Total SA. It trades about 0.34 of its potential returns per unit of risk. Total SA is currently generating about -0.03 per unit of risk. If you would invest 492.00 in Petrobras Argentina SA on February 1, 2015 and sell it today you would earn a total of 82.00 from holding Petrobras Argentina SA or generate 16.67% return on investment over 30 days.

Correlation Coefficient

0.55

Parameters

Time Period	1 Month [change]
Direction	Positive
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

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Diversification

Very weak 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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Historical Performance Chart

Tangent Of Price Move

Price Ceiling

Rate of Change

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
PZE	2.02	0.83	0.00	(1.02)	0.00	0.18	0.00	4.26	(4.17)	11.29	Backtest
TOT	1.68	(0.13)	0.00	0.03	0.00	(0.09)	0.00	3.16	(2.87)	7.24	Backtest

Comparative Volatility

Predicted Return Density

Benchmark

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Returns

Petrobras Argentina SA

Premiums

Correlation

Profile

Compared with the overall equity markets, risk-adjusted returns on investments in Petrobras Argentina SA are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.

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Pair trading matchups for Petrobras

Total SA

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Correlation

Profile

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

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Backtest

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Pair trading matchups for Total

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Correlation analysis between Petrobras and Total

Correlation Coefficient

Parameters

Diversification

Very weak diversification

Historical Performance Chart

Comparative Volatility

Petrobras Argentina SA

Pair trading matchups for Petrobras

Total SA

Pair trading matchups for Total

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