Correlation Analysis Between Saras Raffinerie and PBF Energy

This module allows you to analyze existing cross correlation between Saras Raffinerie Sarde Spa ADR and PBF Energy. You can compare the effects of market volatilities on Saras Raffinerie and PBF Energy 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 Saras Raffinerie with a short position of PBF Energy. See also your portfolio center. Please also check ongoing floating volatility patterns of Saras Raffinerie and PBF Energy.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

Saras Raffinerie Sarde  
44

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Saras Raffinerie Sarde Spa ADR are ranked lower than 4 (%) of all global equities and portfolios over the last 30 days. Inspite fairly strong basic indicators, Saras Raffinerie is not utilizing all of its potentials. The prevalent stock price disturbance, may contribute to short term losses for the investors.
PBF Energy  
00

Risk-Adjusted Performance

Over the last 30 days PBF Energy has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound fundamental drivers, PBF Energy is not utilizing all of its potentials. The prevailing stock price tumult, may contribute to shorter-term losses for the shareholders.

Saras Raffinerie and PBF Energy Volatility Contrast

 Predicted Return Density 
      Returns 

Saras Raffinerie Sarde Spa ADR  vs.  PBF Energy Inc

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Saras Raffinerie Sarde Spa ADR is expected to generate 0.38 times more return on investment than PBF Energy. However, Saras Raffinerie Sarde Spa ADR is 2.65 times less risky than PBF Energy. It trades about 0.06 of its potential returns per unit of risk. PBF Energy is currently generating about -0.03 per unit of risk. If you would invest  764.00  in Saras Raffinerie Sarde Spa ADR on August 21, 2019 and sell it today you would earn a total of  31.00  from holding Saras Raffinerie Sarde Spa ADR or generate 4.06% return on investment over 30 days.

Pair Corralation between Saras Raffinerie and PBF Energy

0.03
Time Period3 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy96.88%
ValuesDaily Returns

Diversification Opportunities for Saras Raffinerie and PBF Energy

Saras Raffinerie Sarde Spa ADR diversification synergy

Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding Saras Raffinerie Sarde Spa ADR and PBF Energy Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on PBF Energy and Saras Raffinerie 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 Saras Raffinerie Sarde Spa ADR are associated (or correlated) with PBF Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PBF Energy has no effect on the direction of Saras Raffinerie i.e. Saras Raffinerie and PBF Energy go up and down completely randomly.
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