Correlation Between Fras Le and BRF SA
Can any of the company-specific risk be diversified away by investing in both Fras Le and BRF 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 Fras Le and BRF SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fras le SA and BRF SA, you can compare the effects of market volatilities on Fras Le and BRF 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 Fras Le with a short position of BRF SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fras Le and BRF SA.
Diversification Opportunities for Fras Le and BRF SA
Good diversification
The 3 months correlation between Fras and BRF is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Fras le SA and BRF SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BRF SA and Fras Le 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 Fras le SA are associated (or correlated) with BRF SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BRF SA has no effect on the direction of Fras Le i.e., Fras Le and BRF SA go up and down completely randomly.
Pair Corralation between Fras Le and BRF SA
Assuming the 90 days trading horizon Fras le SA is expected to under-perform the BRF SA. But the stock apears to be less risky and, when comparing its historical volatility, Fras le SA is 1.49 times less risky than BRF SA. The stock trades about -0.09 of its potential returns per unit of risk. The BRF SA is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 2,523 in BRF SA on September 2, 2024 and sell it today you would lose (42.00) from holding BRF SA or give up 1.66% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fras le SA vs. BRF SA
Performance |
| Timeline |
| Fras le SA |
| BRF SA |
Fras Le and BRF SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fras Le and BRF SA
The main advantage of trading using opposite Fras Le and BRF SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fras Le position performs unexpectedly, BRF 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 BRF SA will offset losses from the drop in BRF SA's long position.| Fras Le vs. Engie Brasil Energia | Fras Le vs. Energisa SA | Fras Le vs. Clave Indices De | Fras Le vs. BTG Pactual Logstica |
| BRF SA vs. Companhia Siderrgica Nacional | BRF SA vs. Cyrela Brazil Realty | BRF SA vs. Fras le SA | BRF SA vs. Energisa 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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