Correlation Between Transportadora and Naturgy BAN
Can any of the company-specific risk be diversified away by investing in both Transportadora and Naturgy BAN 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 Naturgy BAN 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 Naturgy BAN SA, you can compare the effects of market volatilities on Transportadora and Naturgy BAN 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 Naturgy BAN. Check out your portfolio center. Please also check ongoing floating volatility patterns of Transportadora and Naturgy BAN.
Diversification Opportunities for Transportadora and Naturgy BAN
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Transportadora and Naturgy is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Transportadora de Gas and Naturgy BAN SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Naturgy BAN SA 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 Naturgy BAN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Naturgy BAN SA has no effect on the direction of Transportadora i.e., Transportadora and Naturgy BAN go up and down completely randomly.
Pair Corralation between Transportadora and Naturgy BAN
Assuming the 90 days trading horizon Transportadora is expected to generate 1.57 times less return on investment than Naturgy BAN. But when comparing it to its historical volatility, Transportadora de Gas is 1.37 times less risky than Naturgy BAN. It trades about 0.43 of its potential returns per unit of risk. Naturgy BAN SA is currently generating about 0.49 of returns per unit of risk over similar time horizon. If you would invest 152,500 in Naturgy BAN SA on September 5, 2024 and sell it today you would earn a total of 59,000 from holding Naturgy BAN SA or generate 38.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Transportadora de Gas vs. Naturgy BAN SA
Performance |
| Timeline |
| Transportadora de Gas |
| Naturgy BAN SA |
Transportadora and Naturgy BAN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transportadora and Naturgy BAN
The main advantage of trading using opposite Transportadora and Naturgy BAN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transportadora position performs unexpectedly, Naturgy BAN 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 Naturgy BAN will offset losses from the drop in Naturgy BAN's long position.| Transportadora vs. Naturgy BAN SA | Transportadora vs. Distribuidora de Gas | Transportadora vs. Metrogas SA |
| Naturgy BAN vs. Telecom Argentina | Naturgy BAN vs. United States Steel | Naturgy BAN vs. Compania de Transporte | Naturgy BAN vs. Harmony Gold Mining |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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