Correlation Between Falabella and Parq Arauco
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By analyzing existing cross correlation between Falabella and Parq Arauco, you can compare the effects of market volatilities on Falabella and Parq Arauco 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 Falabella with a short position of Parq Arauco. Check out your portfolio center. Please also check ongoing floating volatility patterns of Falabella and Parq Arauco.
Diversification Opportunities for Falabella and Parq Arauco
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Falabella and Parq is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Falabella and Parq Arauco in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parq Arauco and Falabella 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 Falabella are associated (or correlated) with Parq Arauco. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parq Arauco has no effect on the direction of Falabella i.e., Falabella and Parq Arauco go up and down completely randomly.
Pair Corralation between Falabella and Parq Arauco
Assuming the 90 days trading horizon Falabella is expected to generate 0.96 times more return on investment than Parq Arauco. However, Falabella is 1.04 times less risky than Parq Arauco. It trades about 0.38 of its potential returns per unit of risk. Parq Arauco is currently generating about 0.36 per unit of risk. If you would invest 344,000 in Falabella on November 4, 2024 and sell it today you would earn a total of 28,000 from holding Falabella or generate 8.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Falabella vs. Parq Arauco
Performance |
| Timeline |
| Falabella |
| Parq Arauco |
Falabella and Parq Arauco Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Falabella and Parq Arauco
The main advantage of trading using opposite Falabella and Parq Arauco positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Falabella position performs unexpectedly, Parq Arauco 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 Parq Arauco will offset losses from the drop in Parq Arauco's long position.| Falabella vs. Cencosud | Falabella vs. Empresas Copec SA | Falabella vs. LATAM Airlines Group | Falabella vs. Sociedad Qumica y |
| Parq Arauco vs. Falabella | Parq Arauco vs. Cencosud | Parq Arauco vs. Ripley Corp | Parq Arauco vs. Empresas Copec 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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