Correlation Between Itasa Investimentos and Engie Brasil
Can any of the company-specific risk be diversified away by investing in both Itasa Investimentos and Engie Brasil 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 Itasa Investimentos and Engie Brasil into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itasa Investimentos and Engie Brasil Energia, you can compare the effects of market volatilities on Itasa Investimentos and Engie Brasil 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 Itasa Investimentos with a short position of Engie Brasil. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itasa Investimentos and Engie Brasil.
Diversification Opportunities for Itasa Investimentos and Engie Brasil
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Itasa and Engie is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Itasa Investimentos and Engie Brasil Energia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Engie Brasil Energia and Itasa Investimentos 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 Itasa Investimentos are associated (or correlated) with Engie Brasil. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Engie Brasil Energia has no effect on the direction of Itasa Investimentos i.e., Itasa Investimentos and Engie Brasil go up and down completely randomly.
Pair Corralation between Itasa Investimentos and Engie Brasil
Assuming the 90 days trading horizon Itasa Investimentos is expected to under-perform the Engie Brasil. But the preferred stock apears to be less risky and, when comparing its historical volatility, Itasa Investimentos is 1.02 times less risky than Engie Brasil. The preferred stock trades about -0.22 of its potential returns per unit of risk. The Engie Brasil Energia is currently generating about -0.14 of returns per unit of risk over similar time horizon. If you would invest 4,092 in Engie Brasil Energia on August 28, 2024 and sell it today you would lose (149.00) from holding Engie Brasil Energia or give up 3.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Itasa Investimentos vs. Engie Brasil Energia
Performance |
| Timeline |
| Itasa Investimentos |
| Engie Brasil Energia |
Itasa Investimentos and Engie Brasil Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Itasa Investimentos and Engie Brasil
The main advantage of trading using opposite Itasa Investimentos and Engie Brasil positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itasa Investimentos position performs unexpectedly, Engie Brasil 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 Engie Brasil will offset losses from the drop in Engie Brasil's long position.| Itasa Investimentos vs. Banco do Brasil | Itasa Investimentos vs. Banco Bradesco SA | Itasa Investimentos vs. Ita Unibanco Holding | Itasa Investimentos vs. Petrleo Brasileiro SA |
| Engie Brasil vs. BB Seguridade Participacoes | Engie Brasil vs. CTEEP Companhia | Engie Brasil vs. Itasa Investimentos |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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