Correlation Between BRF SA and CCR SA
Can any of the company-specific risk be diversified away by investing in both BRF SA and CCR 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 BRF SA and CCR SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BRF SA and CCR SA, you can compare the effects of market volatilities on BRF SA and CCR 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 BRF SA with a short position of CCR SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of BRF SA and CCR SA.
Diversification Opportunities for BRF SA and CCR SA
Modest diversification
The 3 months correlation between BRF and CCR is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding BRF SA and CCR SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CCR SA and BRF 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 BRF SA are associated (or correlated) with CCR SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CCR SA has no effect on the direction of BRF SA i.e., BRF SA and CCR SA go up and down completely randomly.
Pair Corralation between BRF SA and CCR SA
Assuming the 90 days trading horizon BRF SA is expected to generate 1.38 times more return on investment than CCR SA. However, BRF SA is 1.38 times more volatile than CCR SA. It trades about 0.13 of its potential returns per unit of risk. CCR SA is currently generating about -0.03 per unit of risk. If you would invest 1,764 in BRF SA on September 2, 2024 and sell it today you would earn a total of 717.00 from holding BRF SA or generate 40.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
BRF SA vs. CCR SA
Performance |
| Timeline |
| BRF SA |
| CCR SA |
BRF SA and CCR SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BRF SA and CCR SA
The main advantage of trading using opposite BRF SA and CCR SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BRF SA position performs unexpectedly, CCR 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 CCR SA will offset losses from the drop in CCR SA's long position.| BRF SA vs. Companhia Siderrgica Nacional | BRF SA vs. Cyrela Brazil Realty | BRF SA vs. Fras le SA | BRF SA vs. Energisa SA |
| CCR SA vs. EcoRodovias Infraestrutura e | CCR SA vs. Companhia de Saneamento | CCR SA vs. Companhia Energtica de | CCR SA vs. Cosan 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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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