Correlation Between Transportadora and Distribuidora
Can any of the company-specific risk be diversified away by investing in both Transportadora and Distribuidora 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 Transportadora and Distribuidora into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Transportadora de Gas and Distribuidora de Gas, you can compare the effects of market volatilities on Transportadora and Distribuidora 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 Transportadora with a short position of Distribuidora. Check out your portfolio center. Please also check ongoing floating volatility patterns of Transportadora and Distribuidora.
Diversification Opportunities for Transportadora and Distribuidora
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Transportadora and Distribuidora is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Transportadora de Gas and Distribuidora de Gas in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Distribuidora de Gas and Transportadora 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 Transportadora de Gas are associated (or correlated) with Distribuidora. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Distribuidora de Gas has no effect on the direction of Transportadora i.e., Transportadora and Distribuidora go up and down completely randomly.
Pair Corralation between Transportadora and Distribuidora
Assuming the 90 days trading horizon Transportadora de Gas is expected to generate 1.03 times more return on investment than Distribuidora. However, Transportadora is 1.03 times more volatile than Distribuidora de Gas. It trades about -0.1 of its potential returns per unit of risk. Distribuidora de Gas is currently generating about -0.11 per unit of risk. If you would invest 405,500 in Transportadora de Gas on October 20, 2024 and sell it today you would lose (30,000) from holding Transportadora de Gas or give up 7.4% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Transportadora de Gas vs. Distribuidora de Gas
Performance |
| Timeline |
| Transportadora de Gas |
| Distribuidora de Gas |
Transportadora and Distribuidora Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transportadora and Distribuidora
The main advantage of trading using opposite Transportadora and Distribuidora positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transportadora position performs unexpectedly, Distribuidora 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 Distribuidora will offset losses from the drop in Distribuidora's long position.| Transportadora vs. Naturgy BAN SA | Transportadora vs. Distribuidora de Gas | Transportadora vs. Walmart | Transportadora vs. Central Puerto SA |
| Distribuidora vs. Naturgy BAN SA | Distribuidora vs. Transportadora de Gas | Distribuidora vs. Walmart | Distribuidora vs. Central Puerto 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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