Correlation Between Banco Macro and Bancolombia
Can any of the company-specific risk be diversified away by investing in both Banco Macro and Bancolombia 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 Bancolombia 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 Bancolombia SA ADR, you can compare the effects of market volatilities on Banco Macro and Bancolombia 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 Bancolombia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and Bancolombia.
Diversification Opportunities for Banco Macro and Bancolombia
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Banco and Bancolombia is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Bancolombia SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bancolombia SA ADR 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 Bancolombia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bancolombia SA ADR has no effect on the direction of Banco Macro i.e., Banco Macro and Bancolombia go up and down completely randomly.
Pair Corralation between Banco Macro and Bancolombia
Considering the 90-day investment horizon Banco Macro SA is expected to generate 1.85 times more return on investment than Bancolombia. However, Banco Macro is 1.85 times more volatile than Bancolombia SA ADR. It trades about 0.18 of its potential returns per unit of risk. Bancolombia SA ADR is currently generating about 0.14 per unit of risk. If you would invest 7,095 in Banco Macro SA on August 24, 2024 and sell it today you would earn a total of 906.00 from holding Banco Macro SA or generate 12.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Banco Macro SA vs. Bancolombia SA ADR
Performance |
| Timeline |
| Banco Macro SA |
| Bancolombia SA ADR |
Banco Macro and Bancolombia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Banco Macro and Bancolombia
The main advantage of trading using opposite Banco Macro and Bancolombia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banco Macro position performs unexpectedly, Bancolombia 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 Bancolombia will offset losses from the drop in Bancolombia's long position.| Banco Macro vs. Grupo Supervielle SA | Banco Macro vs. BBVA Banco Frances | Banco Macro vs. Banco Bradesco SA | Banco Macro vs. Itau Unibanco Banco |
| Bancolombia vs. Banco De Chile | Bancolombia vs. Banco Bradesco SA | Bancolombia vs. Banco Santander Chile | Bancolombia vs. Intercorp Financial Services |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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