Correlation Between Amper SA and Vale SA
Can any of the company-specific risk be diversified away by investing in both Amper SA and Vale 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 Amper SA and Vale SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amper SA and Vale SA, you can compare the effects of market volatilities on Amper SA and Vale 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 Amper SA with a short position of Vale SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amper SA and Vale SA.
Diversification Opportunities for Amper SA and Vale SA
Very weak diversification
The 3 months correlation between Amper and Vale is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Amper SA and Vale SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vale SA and Amper 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 Amper SA are associated (or correlated) with Vale SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vale SA has no effect on the direction of Amper SA i.e., Amper SA and Vale SA go up and down completely randomly.
Pair Corralation between Amper SA and Vale SA
Assuming the 90 days trading horizon Amper SA is expected to under-perform the Vale SA. In addition to that, Amper SA is 1.63 times more volatile than Vale SA. It trades about -0.1 of its total potential returns per unit of risk. Vale SA is currently generating about -0.16 per unit of volatility. If you would invest 1,054 in Vale SA on August 30, 2024 and sell it today you would lose (80.00) from holding Vale SA or give up 7.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amper SA vs. Vale SA
Performance |
| Timeline |
| Amper SA |
| Vale SA |
Amper SA and Vale SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amper SA and Vale SA
The main advantage of trading using opposite Amper SA and Vale SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amper SA position performs unexpectedly, Vale 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 Vale SA will offset losses from the drop in Vale SA's long position.| Amper SA vs. Ercros | Amper SA vs. Urbas Grupo Financiero | Amper SA vs. Duro Felguera | Amper SA vs. ENCE Energa y |
| Vale SA vs. Berkeley Energia Limited | Vale SA vs. Lingotes | Vale SA vs. Metrovacesa SA | Vale SA vs. Endurance Motive SA |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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