Correlation Between Banco Macro and Loma Negra
Can any of the company-specific risk be diversified away by investing in both Banco Macro and Loma Negra 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 Banco Macro and Loma Negra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Banco Macro SA and Loma Negra Compania, you can compare the effects of market volatilities on Banco Macro and Loma Negra 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 Banco Macro with a short position of Loma Negra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and Loma Negra.
Diversification Opportunities for Banco Macro and Loma Negra
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Banco and Loma is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Loma Negra Compania in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Loma Negra Compania and Banco Macro 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 Banco Macro SA are associated (or correlated) with Loma Negra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Loma Negra Compania has no effect on the direction of Banco Macro i.e., Banco Macro and Loma Negra go up and down completely randomly.
Pair Corralation between Banco Macro and Loma Negra
Assuming the 90 days trading horizon Banco Macro SA is expected to generate 1.49 times more return on investment than Loma Negra. However, Banco Macro is 1.49 times more volatile than Loma Negra Compania. It trades about 0.13 of its potential returns per unit of risk. Loma Negra Compania is currently generating about -0.1 per unit of risk. If you would invest 1,110,000 in Banco Macro SA on October 20, 2024 and sell it today you would earn a total of 122,500 from holding Banco Macro SA or generate 11.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Banco Macro SA vs. Loma Negra Compania
Performance |
| Timeline |
| Banco Macro SA |
| Loma Negra Compania |
Banco Macro and Loma Negra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Banco Macro and Loma Negra
The main advantage of trading using opposite Banco Macro and Loma Negra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banco Macro position performs unexpectedly, Loma Negra 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 Loma Negra will offset losses from the drop in Loma Negra's long position.| Banco Macro vs. Banco Santander Ro | Banco Macro vs. Banco Patagonia | Banco Macro vs. Grupo Supervielle SA | Banco Macro vs. Banco Hipotecario SA |
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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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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