Correlation Between PBF Energy and Cosan SA
Can any of the company-specific risk be diversified away by investing in both PBF Energy and Cosan SA 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 PBF Energy and Cosan SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PBF Energy and Cosan SA ADR, you can compare the effects of market volatilities on PBF Energy and Cosan SA 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 PBF Energy with a short position of Cosan SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of PBF Energy and Cosan SA.
Diversification Opportunities for PBF Energy and Cosan SA
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between PBF and Cosan is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding PBF Energy and Cosan SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cosan SA ADR and PBF Energy 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 PBF Energy are associated (or correlated) with Cosan SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cosan SA ADR has no effect on the direction of PBF Energy i.e., PBF Energy and Cosan SA go up and down completely randomly.
Pair Corralation between PBF Energy and Cosan SA
Considering the 90-day investment horizon PBF Energy is expected to generate 1.12 times more return on investment than Cosan SA. However, PBF Energy is 1.12 times more volatile than Cosan SA ADR. It trades about -0.04 of its potential returns per unit of risk. Cosan SA ADR is currently generating about -0.1 per unit of risk. If you would invest 4,393 in PBF Energy on August 27, 2024 and sell it today you would lose (1,194) from holding PBF Energy or give up 27.18% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PBF Energy vs. Cosan SA ADR
Performance |
| Timeline |
| PBF Energy |
| Cosan SA ADR |
PBF Energy and Cosan SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PBF Energy and Cosan SA
The main advantage of trading using opposite PBF Energy and Cosan SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PBF Energy position performs unexpectedly, Cosan SA 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 Cosan SA will offset losses from the drop in Cosan SA's long position.| PBF Energy vs. Delek Energy | PBF Energy vs. CVR Energy | PBF Energy vs. Valero Energy | PBF Energy vs. Marathon Petroleum Corp |
| Cosan SA vs. Delek Energy | Cosan SA vs. Crossamerica Partners LP | Cosan SA vs. Valvoline | Cosan SA vs. Star Gas Partners |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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