Correlation Between Banco Macro and YPF SA
Can any of the company-specific risk be diversified away by investing in both Banco Macro and YPF 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 Banco Macro and YPF SA 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 YPF SA D, you can compare the effects of market volatilities on Banco Macro and YPF 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 Banco Macro with a short position of YPF SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and YPF SA.
Diversification Opportunities for Banco Macro and YPF SA
0.49 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Banco and YPF is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and YPF SA D in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on YPF SA D 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 YPF SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of YPF SA D has no effect on the direction of Banco Macro i.e., Banco Macro and YPF SA go up and down completely randomly.
Pair Corralation between Banco Macro and YPF SA
Assuming the 90 days trading horizon Banco Macro SA is expected to generate 1.05 times more return on investment than YPF SA. However, Banco Macro is 1.05 times more volatile than YPF SA D. It trades about 0.16 of its potential returns per unit of risk. YPF SA D is currently generating about 0.15 per unit of risk. If you would invest 107,185 in Banco Macro SA on August 31, 2024 and sell it today you would earn a total of 818,815 from holding Banco Macro SA or generate 763.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Banco Macro SA vs. YPF SA D
Performance |
| Timeline |
| Banco Macro SA |
| YPF SA D |
Banco Macro and YPF SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Banco Macro and YPF SA
The main advantage of trading using opposite Banco Macro and YPF SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banco Macro position performs unexpectedly, YPF 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 YPF SA will offset losses from the drop in YPF SA's long position.| Banco Macro vs. Transportadora de Gas | Banco Macro vs. Agrometal SAI | Banco Macro vs. Harmony Gold Mining | Banco Macro vs. Compania de Transporte |
| YPF SA vs. Grupo Financiero Galicia | YPF SA vs. Pampa Energia SA | YPF SA vs. Banco Macro SA | YPF SA vs. Aluar Aluminio Argentino |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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