Correlation Between Empresas CMPC and Sociedad Matriz
Can any of the company-specific risk be diversified away by investing in both Empresas CMPC and Sociedad Matriz 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 Empresas CMPC and Sociedad Matriz into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Empresas CMPC and Sociedad Matriz SAAM, you can compare the effects of market volatilities on Empresas CMPC and Sociedad Matriz 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 Empresas CMPC with a short position of Sociedad Matriz. Check out your portfolio center. Please also check ongoing floating volatility patterns of Empresas CMPC and Sociedad Matriz.
Diversification Opportunities for Empresas CMPC and Sociedad Matriz
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Empresas and Sociedad is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Empresas CMPC and Sociedad Matriz SAAM in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sociedad Matriz SAAM and Empresas CMPC 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 Empresas CMPC are associated (or correlated) with Sociedad Matriz. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sociedad Matriz SAAM has no effect on the direction of Empresas CMPC i.e., Empresas CMPC and Sociedad Matriz go up and down completely randomly.
Pair Corralation between Empresas CMPC and Sociedad Matriz
Assuming the 90 days trading horizon Empresas CMPC is expected to generate 0.7 times more return on investment than Sociedad Matriz. However, Empresas CMPC is 1.43 times less risky than Sociedad Matriz. It trades about -0.14 of its potential returns per unit of risk. Sociedad Matriz SAAM is currently generating about -0.1 per unit of risk. If you would invest 158,500 in Empresas CMPC on August 24, 2024 and sell it today you would lose (5,010) from holding Empresas CMPC or give up 3.16% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Empresas CMPC vs. Sociedad Matriz SAAM
Performance |
| Timeline |
| Empresas CMPC |
| Sociedad Matriz SAAM |
Empresas CMPC and Sociedad Matriz Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Empresas CMPC and Sociedad Matriz
The main advantage of trading using opposite Empresas CMPC and Sociedad Matriz positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Empresas CMPC position performs unexpectedly, Sociedad Matriz 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 Sociedad Matriz will offset losses from the drop in Sociedad Matriz's long position.| Empresas CMPC vs. Empresas Copec SA | Empresas CMPC vs. Cencosud | Empresas CMPC vs. Falabella | Empresas CMPC vs. Sociedad Qumica y |
| Sociedad Matriz vs. Vapores | Sociedad Matriz vs. Enel Amricas SA | Sociedad Matriz vs. Empresas CMPC | Sociedad Matriz vs. Colbun |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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