Correlation Between Banco Macro and Pampa Energia
Can any of the company-specific risk be diversified away by investing in both Banco Macro and Pampa Energia 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 Pampa Energia 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 Pampa Energia SA, you can compare the effects of market volatilities on Banco Macro and Pampa Energia 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 Pampa Energia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and Pampa Energia.
Diversification Opportunities for Banco Macro and Pampa Energia
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Banco and Pampa is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Pampa Energia SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pampa Energia SA 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 Pampa Energia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pampa Energia SA has no effect on the direction of Banco Macro i.e., Banco Macro and Pampa Energia go up and down completely randomly.
Pair Corralation between Banco Macro and Pampa Energia
Assuming the 90 days trading horizon Banco Macro SA is expected to under-perform the Pampa Energia. In addition to that, Banco Macro is 1.31 times more volatile than Pampa Energia SA. It trades about -0.05 of its total potential returns per unit of risk. Pampa Energia SA is currently generating about -0.02 per unit of volatility. If you would invest 438,500 in Pampa Energia SA on November 2, 2024 and sell it today you would lose (10,500) from holding Pampa Energia SA or give up 2.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Banco Macro SA vs. Pampa Energia SA
Performance |
| Timeline |
| Banco Macro SA |
| Pampa Energia SA |
Banco Macro and Pampa Energia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Banco Macro and Pampa Energia
The main advantage of trading using opposite Banco Macro and Pampa Energia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banco Macro position performs unexpectedly, Pampa Energia 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 Pampa Energia will offset losses from the drop in Pampa Energia'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 |
| Pampa Energia vs. Transportadora de Gas | Pampa Energia vs. Compania de Transporte | Pampa Energia vs. United States Steel | Pampa Energia vs. Harmony Gold Mining |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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