Correlation Between Ambev SA and Magazine Luiza
Can any of the company-specific risk be diversified away by investing in both Ambev SA and Magazine Luiza 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 Ambev SA and Magazine Luiza into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ambev SA and Magazine Luiza SA, you can compare the effects of market volatilities on Ambev SA and Magazine Luiza 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 Ambev SA with a short position of Magazine Luiza. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ambev SA and Magazine Luiza.
Diversification Opportunities for Ambev SA and Magazine Luiza
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Ambev and Magazine is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Ambev SA and Magazine Luiza SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Magazine Luiza SA and Ambev SA 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 Ambev SA are associated (or correlated) with Magazine Luiza. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Magazine Luiza SA has no effect on the direction of Ambev SA i.e., Ambev SA and Magazine Luiza go up and down completely randomly.
Pair Corralation between Ambev SA and Magazine Luiza
Assuming the 90 days trading horizon Ambev SA is expected to under-perform the Magazine Luiza. But the stock apears to be less risky and, when comparing its historical volatility, Ambev SA is 6.06 times less risky than Magazine Luiza. The stock trades about -0.01 of its potential returns per unit of risk. The Magazine Luiza SA is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 701.00 in Magazine Luiza SA on November 28, 2024 and sell it today you would earn a total of 37.00 from holding Magazine Luiza SA or generate 5.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ambev SA vs. Magazine Luiza SA
Performance |
| Timeline |
| Ambev SA |
| Magazine Luiza SA |
Ambev SA and Magazine Luiza Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ambev SA and Magazine Luiza
The main advantage of trading using opposite Ambev SA and Magazine Luiza positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ambev SA position performs unexpectedly, Magazine Luiza 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 Magazine Luiza will offset losses from the drop in Magazine Luiza's long position.| Ambev SA vs. WEG SA | Ambev SA vs. Ita Unibanco Holding | Ambev SA vs. Itasa Investimentos | Ambev SA vs. Banco Bradesco SA |
| Magazine Luiza vs. WEG SA | Magazine Luiza vs. Vale SA | Magazine Luiza vs. Itasa Investimentos | Magazine Luiza vs. Ita Unibanco Holding |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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