Correlation Between Energisa and Rumo SA
Can any of the company-specific risk be diversified away by investing in both Energisa and Rumo 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 Energisa and Rumo SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Energisa SA and Rumo SA, you can compare the effects of market volatilities on Energisa and Rumo 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 Energisa with a short position of Rumo SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Energisa and Rumo SA.
Diversification Opportunities for Energisa and Rumo SA
Poor diversification
The 3 months correlation between Energisa and Rumo is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Energisa SA and Rumo SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Rumo SA and Energisa 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 Energisa SA are associated (or correlated) with Rumo SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Rumo SA has no effect on the direction of Energisa i.e., Energisa and Rumo SA go up and down completely randomly.
Pair Corralation between Energisa and Rumo SA
Assuming the 90 days trading horizon Energisa is expected to generate 3.77 times less return on investment than Rumo SA. But when comparing it to its historical volatility, Energisa SA is 1.01 times less risky than Rumo SA. It trades about 0.01 of its potential returns per unit of risk. Rumo SA is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 1,639 in Rumo SA on September 3, 2024 and sell it today you would earn a total of 306.00 from holding Rumo SA or generate 18.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Energisa SA vs. Rumo SA
Performance |
| Timeline |
| Energisa SA |
| Rumo SA |
Energisa and Rumo SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Energisa and Rumo SA
The main advantage of trading using opposite Energisa and Rumo SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Energisa position performs unexpectedly, Rumo 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 Rumo SA will offset losses from the drop in Rumo SA's long position.| Energisa vs. Equatorial Energia SA | Energisa vs. CPFL Energia SA | Energisa vs. Eneva SA | Energisa vs. Companhia de Saneamento |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
Other Complementary Tools
| Bonds Directory Find actively traded corporate debentures issued by US companies | |
| Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments |