Correlation Between Imob I and BTG Pactual
Can any of the company-specific risk be diversified away by investing in both Imob I and BTG Pactual 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 Imob I and BTG Pactual into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Imob I Fundo and BTG Pactual Logstica, you can compare the effects of market volatilities on Imob I and BTG Pactual 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 Imob I with a short position of BTG Pactual. Check out your portfolio center. Please also check ongoing floating volatility patterns of Imob I and BTG Pactual.
Diversification Opportunities for Imob I and BTG Pactual
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Imob and BTG is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Imob I Fundo and BTG Pactual Logstica in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BTG Pactual Logstica and Imob I 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 Imob I Fundo are associated (or correlated) with BTG Pactual. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BTG Pactual Logstica has no effect on the direction of Imob I i.e., Imob I and BTG Pactual go up and down completely randomly.
Pair Corralation between Imob I and BTG Pactual
Assuming the 90 days trading horizon Imob I Fundo is expected to under-perform the BTG Pactual. In addition to that, Imob I is 1.5 times more volatile than BTG Pactual Logstica. It trades about -0.22 of its total potential returns per unit of risk. BTG Pactual Logstica is currently generating about -0.02 per unit of volatility. If you would invest 9,783 in BTG Pactual Logstica on August 26, 2024 and sell it today you would lose (75.00) from holding BTG Pactual Logstica or give up 0.77% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Imob I Fundo vs. BTG Pactual Logstica
Performance |
| Timeline |
| Imob I Fundo |
| BTG Pactual Logstica |
Imob I and BTG Pactual Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Imob I and BTG Pactual
The main advantage of trading using opposite Imob I and BTG Pactual positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Imob I position performs unexpectedly, BTG Pactual 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 BTG Pactual will offset losses from the drop in BTG Pactual's long position.| Imob I vs. BTG Pactual Logstica | Imob I vs. Plano Plano Desenvolvimento | Imob I vs. Companhia Habitasul de | Imob I vs. The Procter Gamble |
| BTG Pactual vs. Fundo Investimento Imobiliario | BTG Pactual vs. KILIMA VOLKANO RECEBVEIS | BTG Pactual vs. Santander Renda De | BTG Pactual vs. DEVANT PROPERTIES FUNDO |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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