Correlation Between Fator IFIX and Alfa Holdings
Can any of the company-specific risk be diversified away by investing in both Fator IFIX 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 Fator IFIX and Alfa Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fator IFIX Fundo and Alfa Holdings SA, you can compare the effects of market volatilities on Fator IFIX 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 Fator IFIX with a short position of Alfa Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fator IFIX and Alfa Holdings.
Diversification Opportunities for Fator IFIX and Alfa Holdings
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Fator and Alfa is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Fator IFIX Fundo 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 Fator IFIX 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 Fator IFIX Fundo 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 Fator IFIX i.e., Fator IFIX and Alfa Holdings go up and down completely randomly.
Pair Corralation between Fator IFIX and Alfa Holdings
Assuming the 90 days trading horizon Fator IFIX Fundo is expected to under-perform the Alfa Holdings. But the fund apears to be less risky and, when comparing its historical volatility, Fator IFIX Fundo is 2.63 times less risky than Alfa Holdings. The fund trades about -0.05 of its potential returns per unit of risk. The Alfa Holdings SA is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 759.00 in Alfa Holdings SA on August 29, 2024 and sell it today you would lose (57.00) from holding Alfa Holdings SA or give up 7.51% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.6% |
| Values | Daily Returns |
Fator IFIX Fundo vs. Alfa Holdings SA
Performance |
| Timeline |
| Fator IFIX Fundo |
| Alfa Holdings SA |
Fator IFIX and Alfa Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fator IFIX and Alfa Holdings
The main advantage of trading using opposite Fator IFIX and Alfa Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fator IFIX 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.| Fator IFIX vs. Fator Verit Fundo | Fator IFIX vs. Real Estate Investment | Fator IFIX vs. NAVI CRDITO IMOBILIRIO | Fator IFIX vs. LIFE CAPITAL PARTNERS |
| Alfa Holdings vs. Alfa Holdings SA | Alfa Holdings vs. Alfa Holdings SA | Alfa Holdings vs. Banco Alfa de | Alfa Holdings vs. Banco Alfa de |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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