Correlation Between Fras Le and Gafisa SA
Can any of the company-specific risk be diversified away by investing in both Fras Le and Gafisa 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 Gafisa 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 Gafisa SA, you can compare the effects of market volatilities on Fras Le and Gafisa 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 Gafisa SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fras Le and Gafisa SA.
Diversification Opportunities for Fras Le and Gafisa SA
Excellent diversification
The 3 months correlation between Fras and Gafisa is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Fras le SA and Gafisa SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gafisa 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 Gafisa SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gafisa SA has no effect on the direction of Fras Le i.e., Fras Le and Gafisa SA go up and down completely randomly.
Pair Corralation between Fras Le and Gafisa SA
Assuming the 90 days trading horizon Fras le SA is expected to generate 0.23 times more return on investment than Gafisa SA. However, Fras le SA is 4.31 times less risky than Gafisa SA. It trades about 0.09 of its potential returns per unit of risk. Gafisa SA is currently generating about -0.06 per unit of risk. If you would invest 1,517 in Fras le SA on September 2, 2024 and sell it today you would earn a total of 519.00 from holding Fras le SA or generate 34.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fras le SA vs. Gafisa SA
Performance |
| Timeline |
| Fras le SA |
| Gafisa SA |
Fras Le and Gafisa SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fras Le and Gafisa SA
The main advantage of trading using opposite Fras Le and Gafisa SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fras Le position performs unexpectedly, Gafisa 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 Gafisa SA will offset losses from the drop in Gafisa 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 |
| Gafisa SA vs. Engie Brasil Energia | Gafisa SA vs. Energisa SA | Gafisa SA vs. Clave Indices De | Gafisa SA vs. BTG Pactual Logstica |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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