Correlation Between Sacyr SA and Vocento
Can any of the company-specific risk be diversified away by investing in both Sacyr SA and Vocento 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 Vocento into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sacyr SA and Vocento, you can compare the effects of market volatilities on Sacyr SA and Vocento 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 Vocento. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sacyr SA and Vocento.
Diversification Opportunities for Sacyr SA and Vocento
Poor diversification
The 3 months correlation between Sacyr and Vocento is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Sacyr SA and Vocento in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vocento 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 Vocento. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vocento has no effect on the direction of Sacyr SA i.e., Sacyr SA and Vocento go up and down completely randomly.
Pair Corralation between Sacyr SA and Vocento
Assuming the 90 days trading horizon Sacyr SA is expected to generate 1.35 times less return on investment than Vocento. But when comparing it to its historical volatility, Sacyr SA is 1.75 times less risky than Vocento. It trades about 0.01 of its potential returns per unit of risk. Vocento is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 62.00 in Vocento on September 4, 2024 and sell it today you would earn a total of 0.00 from holding Vocento or generate 0.0% 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. Vocento
Performance |
| Timeline |
| Sacyr SA |
| Vocento |
Sacyr SA and Vocento Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sacyr SA and Vocento
The main advantage of trading using opposite Sacyr SA and Vocento positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sacyr SA position performs unexpectedly, Vocento 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 Vocento will offset losses from the drop in Vocento's long position.| Sacyr SA vs. ArcelorMittal SA | Sacyr SA vs. Acerinox | Sacyr SA vs. Fomento de Construcciones | Sacyr SA vs. Ferrovial |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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