Correlation Between ITV Plc and Vivendi SA

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Can any of the company-specific risk be diversified away by investing in both ITV Plc and Vivendi 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 ITV Plc and Vivendi SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ITV Plc and Vivendi SA, you can compare the effects of market volatilities on ITV Plc and Vivendi 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 ITV Plc with a short position of Vivendi SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of ITV Plc and Vivendi SA.

Diversification Opportunities for ITV Plc and Vivendi SA

-0.41
  Correlation Coefficient

Very good diversification

The 3 months correlation between ITV and Vivendi is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding ITV Plc and Vivendi SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vivendi SA and ITV Plc 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 ITV Plc are associated (or correlated) with Vivendi SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vivendi SA has no effect on the direction of ITV Plc i.e., ITV Plc and Vivendi SA go up and down completely randomly.

Pair Corralation between ITV Plc and Vivendi SA

Assuming the 90 days horizon ITV Plc is expected to under-perform the Vivendi SA. But the pink sheet apears to be less risky and, when comparing its historical volatility, ITV Plc is 2.45 times less risky than Vivendi SA. The pink sheet trades about -0.21 of its potential returns per unit of risk. The Vivendi SA is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  1,096  in Vivendi SA on December 29, 2023 and sell it today you would lose (16.00) from holding Vivendi SA or give up 1.46% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

ITV Plc  vs.  Vivendi SA

 Performance 
       Timeline  
ITV Plc 

Risk-Adjusted Performance

0 of 100

 
Low
 
High
Very Weak
Over the last 90 days ITV Plc has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.
Vivendi SA 

Risk-Adjusted Performance

1 of 100

 
Low
 
High
Weak
Compared to the overall equity markets, risk-adjusted returns on investments in Vivendi SA are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable technical and fundamental indicators, Vivendi SA is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

ITV Plc and Vivendi SA Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with ITV Plc and Vivendi SA

The main advantage of trading using opposite ITV Plc and Vivendi SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ITV Plc position performs unexpectedly, Vivendi 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 Vivendi SA will offset losses from the drop in Vivendi SA's long position.
The idea behind ITV Plc and Vivendi SA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.

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