Correlation Between Empresa Nacional and Invercap
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By analyzing existing cross correlation between Empresa Nacional de and Invercap, you can compare the effects of market volatilities on Empresa Nacional and Invercap 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 Empresa Nacional with a short position of Invercap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Empresa Nacional and Invercap.
Diversification Opportunities for Empresa Nacional and Invercap
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Empresa and Invercap is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Empresa Nacional de and Invercap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invercap and Empresa Nacional 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 Empresa Nacional de are associated (or correlated) with Invercap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invercap has no effect on the direction of Empresa Nacional i.e., Empresa Nacional and Invercap go up and down completely randomly.
Pair Corralation between Empresa Nacional and Invercap
Assuming the 90 days trading horizon Empresa Nacional de is expected to generate 1.02 times more return on investment than Invercap. However, Empresa Nacional is 1.02 times more volatile than Invercap. It trades about -0.18 of its potential returns per unit of risk. Invercap is currently generating about -0.31 per unit of risk. If you would invest 306,760 in Empresa Nacional de on September 20, 2024 and sell it today you would lose (11,480) from holding Empresa Nacional de or give up 3.74% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Empresa Nacional de vs. Invercap
Performance |
| Timeline |
| Empresa Nacional |
| Invercap |
Empresa Nacional and Invercap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Empresa Nacional and Invercap
The main advantage of trading using opposite Empresa Nacional and Invercap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Empresa Nacional position performs unexpectedly, Invercap 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 Invercap will offset losses from the drop in Invercap's long position.| Empresa Nacional vs. Cencosud | Empresa Nacional vs. Empresas Copec SA | Empresa Nacional vs. Falabella | Empresa Nacional vs. Empresas CMPC |
| Invercap vs. Aguas Andinas SA | Invercap vs. Parq Arauco | Invercap vs. Enel Generacin Chile | Invercap vs. Sociedad Matriz SAAM |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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