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 (%)
PZE   TOT   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Petrobras Argentina is expected to generate 1.62 times less return on investment than TOTAL SA. In addition to that, Petrobras Argentina is 1.0 times more volatile than TOTAL SA. It trades about 0.08 of its total potential returns per unit of risk. TOTAL SA is currently generating about 0.13 per unit of volatility. If you would invest  4,061  in TOTAL SA on January 8, 2016 and sell it today you would earn a total of  286.00  from holding TOTAL SA or generate 7.04% return on investment over 30 days.

Correlation Coefficient

0.49

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

Historical Performance Chart

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Petrobras Argentina SA

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Petrobras Argentina SA are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Petrobras Argentina

  

TOTAL SA

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in TOTAL SA are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for TOTAL SA