Correlation Between CTEEP Companhia and Energisa
Can any of the company-specific risk be diversified away by investing in both CTEEP Companhia and Energisa 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 CTEEP Companhia and Energisa into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CTEEP Companhia and Energisa SA, you can compare the effects of market volatilities on CTEEP Companhia and Energisa 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 CTEEP Companhia with a short position of Energisa. Check out your portfolio center. Please also check ongoing floating volatility patterns of CTEEP Companhia and Energisa.
Diversification Opportunities for CTEEP Companhia and Energisa
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between CTEEP and Energisa is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding CTEEP Companhia and Energisa SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Energisa SA and CTEEP Companhia 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 CTEEP Companhia are associated (or correlated) with Energisa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Energisa SA has no effect on the direction of CTEEP Companhia i.e., CTEEP Companhia and Energisa go up and down completely randomly.
Pair Corralation between CTEEP Companhia and Energisa
Assuming the 90 days trading horizon CTEEP Companhia is expected to generate 1.4 times less return on investment than Energisa. But when comparing it to its historical volatility, CTEEP Companhia is 1.78 times less risky than Energisa. It trades about 0.03 of its potential returns per unit of risk. Energisa SA is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 620.00 in Energisa SA on September 1, 2024 and sell it today you would earn a total of 96.00 from holding Energisa SA or generate 15.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.56% |
| Values | Daily Returns |
CTEEP Companhia vs. Energisa SA
Performance |
| Timeline |
| CTEEP Companhia |
| Energisa SA |
CTEEP Companhia and Energisa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CTEEP Companhia and Energisa
The main advantage of trading using opposite CTEEP Companhia and Energisa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CTEEP Companhia position performs unexpectedly, Energisa 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 Energisa will offset losses from the drop in Energisa's long position.| CTEEP Companhia vs. Transmissora Aliana de | CTEEP Companhia vs. CTEEP Companhia | CTEEP Companhia vs. Companhia Paranaense de | CTEEP Companhia vs. Companhia Energtica de |
| Energisa vs. Energisa SA | Energisa vs. Energisa SA | Energisa vs. Companhia Energtica de | Energisa vs. Empresa Metropolitana 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 Global Correlations module to find global opportunities by holding instruments from different markets.
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