Correlation Between Companhia Siderrgica and Vale SA
Can any of the company-specific risk be diversified away by investing in both Companhia Siderrgica and Vale 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 Companhia Siderrgica and Vale SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Companhia Siderrgica Nacional and Vale SA, you can compare the effects of market volatilities on Companhia Siderrgica and Vale 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 Companhia Siderrgica with a short position of Vale SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Companhia Siderrgica and Vale SA.
Diversification Opportunities for Companhia Siderrgica and Vale SA
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Companhia and Vale is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Companhia Siderrgica Nacional and Vale SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vale SA and Companhia Siderrgica 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 Companhia Siderrgica Nacional are associated (or correlated) with Vale SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vale SA has no effect on the direction of Companhia Siderrgica i.e., Companhia Siderrgica and Vale SA go up and down completely randomly.
Pair Corralation between Companhia Siderrgica and Vale SA
Assuming the 90 days trading horizon Companhia Siderrgica Nacional is expected to generate 1.94 times more return on investment than Vale SA. However, Companhia Siderrgica is 1.94 times more volatile than Vale SA. It trades about -0.04 of its potential returns per unit of risk. Vale SA is currently generating about -0.23 per unit of risk. If you would invest 1,148 in Companhia Siderrgica Nacional on August 27, 2024 and sell it today you would lose (37.00) from holding Companhia Siderrgica Nacional or give up 3.22% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Companhia Siderrgica Nacional vs. Vale SA
Performance |
| Timeline |
| Companhia Siderrgica |
| Vale SA |
Companhia Siderrgica and Vale SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Companhia Siderrgica and Vale SA
The main advantage of trading using opposite Companhia Siderrgica and Vale SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Companhia Siderrgica position performs unexpectedly, Vale 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 Vale SA will offset losses from the drop in Vale SA's long position.| Companhia Siderrgica vs. Metalurgica Gerdau SA | Companhia Siderrgica vs. Apartment Investment and | Companhia Siderrgica vs. CVS Health | Companhia Siderrgica vs. METISA Metalrgica Timboense |
| Vale SA vs. Petrleo Brasileiro SA | Vale SA vs. Banco do Brasil | Vale SA vs. Ita Unibanco Holding | Vale SA vs. Banco Bradesco 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Other Complementary Tools
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories |