Correlation Between Schlumberger and Sanofi SA
Can any of the company-specific risk be diversified away by investing in both Schlumberger and Sanofi SA at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Schlumberger and Sanofi SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Schlumberger NV and Sanofi SA, you can compare the effects of market volatilities on Schlumberger and Sanofi 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 Schlumberger with a short position of Sanofi SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Schlumberger and Sanofi SA.
Diversification Opportunities for Schlumberger and Sanofi SA
-0.11 | Correlation Coefficient |
Good diversification
The 3 months correlation between Schlumberger and Sanofi is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding Schlumberger NV and Sanofi SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sanofi SA and Schlumberger 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 Schlumberger NV are associated (or correlated) with Sanofi SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sanofi SA has no effect on the direction of Schlumberger i.e., Schlumberger and Sanofi SA go up and down completely randomly.
Pair Corralation between Schlumberger and Sanofi SA
Assuming the 90 days trading horizon Schlumberger NV is expected to generate 1.52 times more return on investment than Sanofi SA. However, Schlumberger is 1.52 times more volatile than Sanofi SA. It trades about 0.04 of its potential returns per unit of risk. Sanofi SA is currently generating about 0.0 per unit of risk. If you would invest 3,625 in Schlumberger NV on January 18, 2024 and sell it today you would earn a total of 1,190 from holding Schlumberger NV or generate 32.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Schlumberger NV vs. Sanofi SA
Performance |
| Timeline |
| Schlumberger NV |
| Sanofi SA |
Schlumberger and Sanofi SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Schlumberger and Sanofi SA
The main advantage of trading using opposite Schlumberger and Sanofi SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Schlumberger position performs unexpectedly, Sanofi SA can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Sanofi SA will offset losses from the drop in Sanofi SA's long position.| Schlumberger vs. Etablissements Maurel et | Schlumberger vs. Vallourec | Schlumberger vs. Imerys SA | Schlumberger vs. Remy Cointreau |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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