Correlation Between Cosan SA and Refinaria
Can any of the company-specific risk be diversified away by investing in both Cosan SA and Refinaria 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 Cosan SA and Refinaria into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cosan SA and Refinaria de Petrleos, you can compare the effects of market volatilities on Cosan SA and Refinaria 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 Cosan SA with a short position of Refinaria. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cosan SA and Refinaria.
Diversification Opportunities for Cosan SA and Refinaria
Poor diversification
The 3 months correlation between Cosan and Refinaria is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Cosan SA and Refinaria de Petrleos in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Refinaria de Petrleos and Cosan 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 Cosan SA are associated (or correlated) with Refinaria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Refinaria de Petrleos has no effect on the direction of Cosan SA i.e., Cosan SA and Refinaria go up and down completely randomly.
Pair Corralation between Cosan SA and Refinaria
Assuming the 90 days trading horizon Cosan SA is expected to under-perform the Refinaria. But the stock apears to be less risky and, when comparing its historical volatility, Cosan SA is 1.16 times less risky than Refinaria. The stock trades about -0.16 of its potential returns per unit of risk. The Refinaria de Petrleos is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 289.00 in Refinaria de Petrleos on September 12, 2024 and sell it today you would lose (38.00) from holding Refinaria de Petrleos or give up 13.15% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cosan SA vs. Refinaria de Petrleos
Performance |
| Timeline |
| Cosan SA |
| Refinaria de Petrleos |
Cosan SA and Refinaria Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cosan SA and Refinaria
The main advantage of trading using opposite Cosan SA and Refinaria positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cosan SA position performs unexpectedly, Refinaria 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 Refinaria will offset losses from the drop in Refinaria's long position.| Cosan SA vs. Braskem SA | Cosan SA vs. Cyrela Brazil Realty | Cosan SA vs. CCR SA | Cosan SA vs. Lojas Renner SA |
| Refinaria vs. Lupatech SA | Refinaria vs. Recrusul SA | Refinaria vs. PDG Realty SA | Refinaria vs. OSX Brasil 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
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