Correlation Between Pampa Energia and Metrogas
Can any of the company-specific risk be diversified away by investing in both Pampa Energia and Metrogas 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 Pampa Energia and Metrogas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pampa Energia SA and Metrogas SA, you can compare the effects of market volatilities on Pampa Energia and Metrogas 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 Pampa Energia with a short position of Metrogas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pampa Energia and Metrogas.
Diversification Opportunities for Pampa Energia and Metrogas
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Pampa and Metrogas is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Pampa Energia SA and Metrogas SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Metrogas SA and Pampa Energia 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 Pampa Energia SA are associated (or correlated) with Metrogas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Metrogas SA has no effect on the direction of Pampa Energia i.e., Pampa Energia and Metrogas go up and down completely randomly.
Pair Corralation between Pampa Energia and Metrogas
Assuming the 90 days trading horizon Pampa Energia is expected to generate 1.38 times less return on investment than Metrogas. But when comparing it to its historical volatility, Pampa Energia SA is 1.32 times less risky than Metrogas. It trades about 0.16 of its potential returns per unit of risk. Metrogas SA is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 9,200 in Metrogas SA on August 30, 2024 and sell it today you would earn a total of 210,800 from holding Metrogas SA or generate 2291.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pampa Energia SA vs. Metrogas SA
Performance |
| Timeline |
| Pampa Energia SA |
| Metrogas SA |
Pampa Energia and Metrogas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pampa Energia and Metrogas
The main advantage of trading using opposite Pampa Energia and Metrogas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pampa Energia position performs unexpectedly, Metrogas 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 Metrogas will offset losses from the drop in Metrogas' long position.| Pampa Energia vs. Transportadora de Gas | Pampa Energia vs. Telecom Argentina | Pampa Energia vs. Harmony Gold Mining | Pampa Energia vs. Compania de Transporte |
| Metrogas vs. Agrometal SAI | Metrogas vs. Transportadora de Gas | Metrogas vs. Compania de Transporte | Metrogas vs. Harmony Gold Mining |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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