Correlation Between YPF SA and Enel Generacion
Can any of the company-specific risk be diversified away by investing in both YPF SA and Enel Generacion 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 YPF SA and Enel Generacion into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between YPF SA D and Enel Generacion Costanera, you can compare the effects of market volatilities on YPF SA and Enel Generacion 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 YPF SA with a short position of Enel Generacion. Check out your portfolio center. Please also check ongoing floating volatility patterns of YPF SA and Enel Generacion.
Diversification Opportunities for YPF SA and Enel Generacion
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between YPF and Enel is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding YPF SA D and Enel Generacion Costanera in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Enel Generacion Costanera and YPF 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 YPF SA D are associated (or correlated) with Enel Generacion. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Enel Generacion Costanera has no effect on the direction of YPF SA i.e., YPF SA and Enel Generacion go up and down completely randomly.
Pair Corralation between YPF SA and Enel Generacion
Assuming the 90 days trading horizon YPF SA D is expected to generate 0.98 times more return on investment than Enel Generacion. However, YPF SA D is 1.02 times less risky than Enel Generacion. It trades about 0.66 of its potential returns per unit of risk. Enel Generacion Costanera is currently generating about 0.35 per unit of risk. If you would invest 3,147,500 in YPF SA D on September 3, 2024 and sell it today you would earn a total of 1,370,000 from holding YPF SA D or generate 43.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
YPF SA D vs. Enel Generacion Costanera
Performance |
| Timeline |
| YPF SA D |
| Enel Generacion Costanera |
YPF SA and Enel Generacion Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with YPF SA and Enel Generacion
The main advantage of trading using opposite YPF SA and Enel Generacion positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if YPF SA position performs unexpectedly, Enel Generacion 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 Enel Generacion will offset losses from the drop in Enel Generacion's long position.| YPF SA vs. Grupo Financiero Galicia | YPF SA vs. Pampa Energia SA | YPF SA vs. Banco Macro SA | YPF SA vs. Aluar Aluminio Argentino |
| Enel Generacion vs. Agrometal SAI | Enel Generacion vs. Compania de Transporte | Enel Generacion vs. United States Steel |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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