Correlation Between Itasa Investimentos and Alfa Holdings
Can any of the company-specific risk be diversified away by investing in both Itasa Investimentos and Alfa Holdings 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 Alfa Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itasa Investimentos and Alfa Holdings SA, you can compare the effects of market volatilities on Itasa Investimentos and Alfa Holdings 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 Alfa Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itasa Investimentos and Alfa Holdings.
Diversification Opportunities for Itasa Investimentos and Alfa Holdings
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between Itasa and Alfa is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding Itasa Investimentos and Alfa Holdings SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alfa Holdings SA 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 Alfa Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alfa Holdings SA has no effect on the direction of Itasa Investimentos i.e., Itasa Investimentos and Alfa Holdings go up and down completely randomly.
Pair Corralation between Itasa Investimentos and Alfa Holdings
Assuming the 90 days trading horizon Itasa Investimentos is expected to generate 1.52 times less return on investment than Alfa Holdings. But when comparing it to its historical volatility, Itasa Investimentos is 1.65 times less risky than Alfa Holdings. It trades about 0.05 of its potential returns per unit of risk. Alfa Holdings SA is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 703.00 in Alfa Holdings SA on September 12, 2024 and sell it today you would earn a total of 206.00 from holding Alfa Holdings SA or generate 29.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.8% |
| Values | Daily Returns |
Itasa Investimentos vs. Alfa Holdings SA
Performance |
| Timeline |
| Itasa Investimentos |
| Alfa Holdings SA |
Itasa Investimentos and Alfa Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Itasa Investimentos and Alfa Holdings
The main advantage of trading using opposite Itasa Investimentos and Alfa Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itasa Investimentos position performs unexpectedly, Alfa Holdings 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 Alfa Holdings will offset losses from the drop in Alfa Holdings' 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 |
| Alfa Holdings vs. Ita Unibanco Holding | Alfa Holdings vs. Banco do Brasil | Alfa Holdings vs. Itasa Investimentos | Alfa Holdings vs. Petrleo Brasileiro 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 Stocks Directory module to find actively traded stocks across global markets.
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