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   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Petrobras Argentina SA is expected to under-perform the Total. But the stock apears to be less risky and, when comparing its historical volatility, Petrobras Argentina SA is 1.14 times less risky than Total. The stock trades about -0.4 of its potential returns per unit of risk. The Total SA is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest  4,920  in Total SA on July 30, 2015 and sell it today you would lose (311.00) from holding Total SA or give up 6.32% of portfolio value over 30 days.

Correlation Coefficient

0.43

Parameters

Time Period1 Month [change]
DirectionPositive TOT Moved Up vs PZE
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 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

  

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