Correlation Between Sacyr SA and Indra A
Can any of the company-specific risk be diversified away by investing in both Sacyr SA and Indra A 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 Sacyr SA and Indra A into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sacyr SA and Indra A, you can compare the effects of market volatilities on Sacyr SA and Indra A 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 Sacyr SA with a short position of Indra A. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sacyr SA and Indra A.
Diversification Opportunities for Sacyr SA and Indra A
Poor diversification
The 3 months correlation between Sacyr and Indra is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Sacyr SA and Indra A in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indra A and Sacyr 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 Sacyr SA are associated (or correlated) with Indra A. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indra A has no effect on the direction of Sacyr SA i.e., Sacyr SA and Indra A go up and down completely randomly.
Pair Corralation between Sacyr SA and Indra A
Assuming the 90 days trading horizon Sacyr SA is expected to generate 2.49 times less return on investment than Indra A. In addition to that, Sacyr SA is 1.64 times more volatile than Indra A. It trades about 0.04 of its total potential returns per unit of risk. Indra A is currently generating about 0.16 per unit of volatility. If you would invest 1,620 in Indra A on September 1, 2024 and sell it today you would earn a total of 46.00 from holding Indra A or generate 2.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sacyr SA vs. Indra A
Performance |
| Timeline |
| Sacyr SA |
| Indra A |
Sacyr SA and Indra A Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sacyr SA and Indra A
The main advantage of trading using opposite Sacyr SA and Indra A positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sacyr SA position performs unexpectedly, Indra A 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 Indra A will offset losses from the drop in Indra A's long position.| Sacyr SA vs. ArcelorMittal SA | Sacyr SA vs. Acerinox | Sacyr SA vs. Fomento de Construcciones | Sacyr SA vs. ACS Actividades 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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