Correlation Between Alfa SAB and Gruma SAB
Can any of the company-specific risk be diversified away by investing in both Alfa SAB and Gruma SAB 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 Alfa SAB and Gruma SAB into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alfa SAB de and Gruma SAB de, you can compare the effects of market volatilities on Alfa SAB and Gruma SAB 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 Alfa SAB with a short position of Gruma SAB. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alfa SAB and Gruma SAB.
Diversification Opportunities for Alfa SAB and Gruma SAB
Poor diversification
The 3 months correlation between Alfa and Gruma is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Alfa SAB de and Gruma SAB de in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gruma SAB de and Alfa SAB 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 Alfa SAB de are associated (or correlated) with Gruma SAB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gruma SAB de has no effect on the direction of Alfa SAB i.e., Alfa SAB and Gruma SAB go up and down completely randomly.
Pair Corralation between Alfa SAB and Gruma SAB
Assuming the 90 days trading horizon Alfa SAB de is expected to generate 1.24 times more return on investment than Gruma SAB. However, Alfa SAB is 1.24 times more volatile than Gruma SAB de. It trades about 0.44 of its potential returns per unit of risk. Gruma SAB de is currently generating about 0.33 per unit of risk. If you would invest 1,532 in Alfa SAB de on November 18, 2024 and sell it today you would earn a total of 259.00 from holding Alfa SAB de or generate 16.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alfa SAB de vs. Gruma SAB de
Performance |
| Timeline |
| Alfa SAB de |
| Gruma SAB de |
Alfa SAB and Gruma SAB Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alfa SAB and Gruma SAB
The main advantage of trading using opposite Alfa SAB and Gruma SAB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alfa SAB position performs unexpectedly, Gruma SAB 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 Gruma SAB will offset losses from the drop in Gruma SAB's long position.| Alfa SAB vs. Grupo Mxico SAB | Alfa SAB vs. Grupo Financiero Banorte | Alfa SAB vs. Fomento Econmico Mexicano | Alfa SAB vs. CEMEX SAB de |
| Gruma SAB vs. Alfa SAB de | Gruma SAB vs. Grupo Financiero Banorte | Gruma SAB vs. Fomento Econmico Mexicano | Gruma SAB vs. Grupo Mxico SAB |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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