Correlation Between YPF SA and Compania
Can any of the company-specific risk be diversified away by investing in both YPF SA and Compania 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 Compania 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 Compania de Transporte, you can compare the effects of market volatilities on YPF SA and Compania 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 Compania. Check out your portfolio center. Please also check ongoing floating volatility patterns of YPF SA and Compania.
Diversification Opportunities for YPF SA and Compania
Very poor diversification
The 3 months correlation between YPF and Compania is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding YPF SA D and Compania de Transporte in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Compania de Transporte 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 Compania. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Compania de Transporte has no effect on the direction of YPF SA i.e., YPF SA and Compania go up and down completely randomly.
Pair Corralation between YPF SA and Compania
Assuming the 90 days trading horizon YPF SA is expected to generate 1.18 times less return on investment than Compania. But when comparing it to its historical volatility, YPF SA D is 1.34 times less risky than Compania. It trades about 0.18 of its potential returns per unit of risk. Compania de Transporte is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 171,000 in Compania de Transporte on November 2, 2024 and sell it today you would earn a total of 111,000 from holding Compania de Transporte or generate 64.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.04% |
| Values | Daily Returns |
YPF SA D vs. Compania de Transporte
Performance |
| Timeline |
| YPF SA D |
| Compania de Transporte |
YPF SA and Compania Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with YPF SA and Compania
The main advantage of trading using opposite YPF SA and Compania positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if YPF SA position performs unexpectedly, Compania 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 Compania will offset losses from the drop in Compania'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 |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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