Correlation Between Impresa Sociedade and Martifer SGPS
Can any of the company-specific risk be diversified away by investing in both Impresa Sociedade and Martifer SGPS 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 Impresa Sociedade and Martifer SGPS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Impresa Sociedade and Martifer SGPS SA, you can compare the effects of market volatilities on Impresa Sociedade and Martifer SGPS 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 Impresa Sociedade with a short position of Martifer SGPS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Impresa Sociedade and Martifer SGPS.
Diversification Opportunities for Impresa Sociedade and Martifer SGPS
-0.18 | Correlation Coefficient |
Good diversification
The 3 months correlation between Impresa and Martifer is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Impresa Sociedade and Martifer SGPS SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Martifer SGPS SA and Impresa Sociedade 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 Impresa Sociedade are associated (or correlated) with Martifer SGPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Martifer SGPS SA has no effect on the direction of Impresa Sociedade i.e., Impresa Sociedade and Martifer SGPS go up and down completely randomly.
Pair Corralation between Impresa Sociedade and Martifer SGPS
Assuming the 90 days trading horizon Impresa Sociedade is expected to under-perform the Martifer SGPS. In addition to that, Impresa Sociedade is 1.6 times more volatile than Martifer SGPS SA. It trades about -0.01 of its total potential returns per unit of risk. Martifer SGPS SA is currently generating about 0.0 per unit of volatility. If you would invest 176.00 in Martifer SGPS SA on August 29, 2024 and sell it today you would lose (3.00) from holding Martifer SGPS SA or give up 1.7% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Impresa Sociedade vs. Martifer SGPS SA
Performance |
| Timeline |
| Impresa Sociedade |
| Martifer SGPS SA |
Impresa Sociedade and Martifer SGPS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Impresa Sociedade and Martifer SGPS
The main advantage of trading using opposite Impresa Sociedade and Martifer SGPS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Impresa Sociedade position performs unexpectedly, Martifer SGPS 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 Martifer SGPS will offset losses from the drop in Martifer SGPS's long position.| Impresa Sociedade vs. Mota Engil SGPS SA | Impresa Sociedade vs. Martifer SGPS SA | Impresa Sociedade vs. Altri SGPS SA | Impresa Sociedade vs. Sonae SGPS SA |
| Martifer SGPS vs. Mota Engil SGPS SA | Martifer SGPS vs. Impresa Sociedade | Martifer SGPS vs. Teixeira Duarte | Martifer SGPS vs. Altri SGPS 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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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