Pair Correlation Between Petrobras Argentina and TOTAL SA

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. See also your portfolio center. Please also check ongoing floating volatility patterns of Petrobras Argentina and TOTAL SA.
Investment Horizon     30 Days    Login   to change
 Petrobras Argentina SA  vs   TOTAL S.A.
 Performance (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, Petrobras Argentina SA is expected to generate 1.79 times more return on investment than TOTAL SA. However, Petrobras Argentina is 1.79 times more volatile than TOTAL SA. It trades about -0.01 of its potential returns per unit of risk. TOTAL SA is currently generating about -0.04 per unit of risk. If you would invest  930.00  in Petrobras Argentina SA on January 26, 2017 and sell it today you would lose (8.00)  from holding Petrobras Argentina SA or give up 0.86% of portfolio value over 30 days.
Correlation Coefficient
Pair Corralation between Petrobras Argentina and TOTAL SA
0.01

Parameters

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

Diversification

Significant diversification

Overlapping area represents the 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. The correlation between historical prices or returns on TOTAL SA 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 SA are associated (or correlated) with TOTAL SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TOTAL SA has no effect on the direction of Petrobras Argentina i.e. Petrobras Argentina and TOTAL SA go up and down completely randomly.

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.

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.