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 (%) 
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Petrobras Argentina SA is expected to generate 0.34 times more return on investment than TOTAL SA. However, Petrobras Argentina SA is 2.92 times less risky than TOTAL SA. It trades about -0.12 of its potential returns per unit of risk. TOTAL SA is currently generating about -0.12 per unit of risk. If you would invest  627.00  in Petrobras Argentina SA on May 25, 2016 and sell it today you would lose (14.00) from holding Petrobras Argentina SA or give up 2.23% of portfolio value over 30 days.

Correlation Coefficient

0.47

Parameters

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

Diversification

Very weak 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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.65 (0.07) 0.00  0.36  0.00 (0.26) 0.00  1.43 (1.57) 3.06 
 1.74 (0.27) 0.00  0.68  0.00 (0.18) 0.00  2.91 (3.10) 6.01 

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

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 SA