Correlation Between Altri SGPS and Cofina SGPS

Can any of the company-specific risk be diversified away by investing in both Altri SGPS and Cofina SGPS 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 Altri SGPS and Cofina SGPS into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Altri SGPS SA and Cofina SGPS, you can compare the effects of market volatilities on Altri SGPS and Cofina SGPS 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 Altri SGPS with a short position of Cofina SGPS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Altri SGPS and Cofina SGPS.

Diversification Opportunities for Altri SGPS and Cofina SGPS

-0.18

Correlation Coefficient

Altri SGPS  Cofina SGPS

Good diversification

The 3 months correlation between Altri and Cofina is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Altri SGPS SA and Cofina SGPS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cofina SGPS and Altri SGPS 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 Altri SGPS SA are associated (or correlated) with Cofina SGPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cofina SGPS has no effect on the direction of Altri SGPS i.e., Altri SGPS and Cofina SGPS go up and down completely randomly.

Pair Corralation between Altri SGPS and Cofina SGPS

Assuming the 90 days trading horizon Altri SGPS is expected to generate 2.93 times less return on investment than Cofina SGPS. But when comparing it to its historical volatility, Altri SGPS SA is 12.99 times less risky than Cofina SGPS. It trades about 0.12 of its potential returns per unit of risk. Cofina SGPS is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  2,038  in Cofina SGPS on October 20, 2024 and sell it today you would lose (418.00) from holding Cofina SGPS or give up 20.51% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.0%
Values	Daily Returns

Altri SGPS SA  vs.  Cofina SGPS

Altri SGPS SA

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Altri SGPS SA are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Altri SGPS is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Cofina SGPS

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Cofina SGPS are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Cofina SGPS unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Altri SGPS and Cofina SGPS

The main advantage of trading using opposite Altri SGPS and Cofina SGPS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Altri SGPS position performs unexpectedly, Cofina SGPS 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 Cofina SGPS will offset losses from the drop in Cofina SGPS's long position.

The idea behind Altri SGPS SA and Cofina SGPS pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.