Correlation Between Alpargatas and Marisa Lojas
Can any of the company-specific risk be diversified away by investing in both Alpargatas and Marisa Lojas 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 Alpargatas and Marisa Lojas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alpargatas SA and Marisa Lojas SA, you can compare the effects of market volatilities on Alpargatas and Marisa Lojas 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 Alpargatas with a short position of Marisa Lojas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alpargatas and Marisa Lojas.
Diversification Opportunities for Alpargatas and Marisa Lojas
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Alpargatas and Marisa is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Alpargatas SA and Marisa Lojas SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Marisa Lojas SA and Alpargatas 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 Alpargatas SA are associated (or correlated) with Marisa Lojas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Marisa Lojas SA has no effect on the direction of Alpargatas i.e., Alpargatas and Marisa Lojas go up and down completely randomly.
Pair Corralation between Alpargatas and Marisa Lojas
Assuming the 90 days trading horizon Alpargatas SA is expected to under-perform the Marisa Lojas. But the preferred stock apears to be less risky and, when comparing its historical volatility, Alpargatas SA is 6.1 times less risky than Marisa Lojas. The preferred stock trades about -0.04 of its potential returns per unit of risk. The Marisa Lojas SA is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 600.00 in Marisa Lojas SA on September 2, 2024 and sell it today you would lose (507.00) from holding Marisa Lojas SA or give up 84.5% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alpargatas SA vs. Marisa Lojas SA
Performance |
| Timeline |
| Alpargatas SA |
| Marisa Lojas SA |
Alpargatas and Marisa Lojas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alpargatas and Marisa Lojas
The main advantage of trading using opposite Alpargatas and Marisa Lojas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alpargatas position performs unexpectedly, Marisa Lojas 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 Marisa Lojas will offset losses from the drop in Marisa Lojas' long position.| Alpargatas vs. Inepar SA Indstria | Alpargatas vs. Lupatech SA | Alpargatas vs. Rossi Residencial SA | Alpargatas vs. Fras le SA |
| Marisa Lojas vs. Engie Brasil Energia | Marisa Lojas vs. Energisa SA | Marisa Lojas vs. Clave Indices De | Marisa Lojas vs. BTG Pactual Logstica |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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