Correlation Between Rumo SA and Suzano SA
Can any of the company-specific risk be diversified away by investing in both Rumo SA and Suzano 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 Rumo SA and Suzano SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Rumo SA and Suzano SA, you can compare the effects of market volatilities on Rumo SA and Suzano 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 Rumo SA with a short position of Suzano SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Rumo SA and Suzano SA.
Diversification Opportunities for Rumo SA and Suzano SA
Good diversification
The 3 months correlation between Rumo and Suzano is -0.15. Overlapping area represents the amount of risk that can be diversified away by holding Rumo SA and Suzano SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Suzano SA and Rumo SA 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 Rumo SA are associated (or correlated) with Suzano SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Suzano SA has no effect on the direction of Rumo SA i.e., Rumo SA and Suzano SA go up and down completely randomly.
Pair Corralation between Rumo SA and Suzano SA
Assuming the 90 days trading horizon Rumo SA is expected to under-perform the Suzano SA. But the stock apears to be less risky and, when comparing its historical volatility, Rumo SA is 1.08 times less risky than Suzano SA. The stock trades about -0.02 of its potential returns per unit of risk. The Suzano SA is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 5,110 in Suzano SA on August 27, 2024 and sell it today you would earn a total of 960.00 from holding Suzano SA or generate 18.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Rumo SA vs. Suzano SA
Performance |
| Timeline |
| Rumo SA |
| Suzano SA |
Rumo SA and Suzano SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Rumo SA and Suzano SA
The main advantage of trading using opposite Rumo SA and Suzano SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Rumo SA position performs unexpectedly, Suzano 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 Suzano SA will offset losses from the drop in Suzano SA's long position.| Rumo SA vs. METISA Metalrgica Timboense | Rumo SA vs. Lupatech SA | Rumo SA vs. Recrusul SA | Rumo SA vs. Fras le 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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