Correlation Between BBVA Banco and Banco Macro

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

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

Diversification Opportunities for BBVA Banco and Banco Macro

0.84

Correlation Coefficient

BBVA Banco  Banco Macro

Very poor diversification

The 3 months correlation between BBVA and Banco is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding BBVA Banco Frances and Banco Macro SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Banco Macro SA and BBVA Banco 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 BBVA Banco Frances are associated (or correlated) with Banco Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Banco Macro SA has no effect on the direction of BBVA Banco i.e., BBVA Banco and Banco Macro go up and down completely randomly.

Pair Corralation between BBVA Banco and Banco Macro

Given the investment horizon of 90 days BBVA Banco Frances is expected to generate 1.04 times more return on investment than Banco Macro. However, BBVA Banco is 1.04 times more volatile than Banco Macro SA. It trades about 0.01 of its potential returns per unit of risk. Banco Macro SA is currently generating about -0.07 per unit of risk. If you would invest  1,968  in BBVA Banco Frances on December 27, 2024 and sell it today you would lose (54.00) from holding BBVA Banco Frances or give up 2.74% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

BBVA Banco Frances  vs.  Banco Macro SA

BBVA Banco Frances

Risk-Adjusted Performance

Very Weak

Over the last 90 days BBVA Banco Frances has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable basic indicators, BBVA Banco is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Banco Macro SA

Risk-Adjusted Performance

Very Weak

Over the last 90 days Banco Macro SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite abnormal performance in the last few months, the Stock's primary indicators remain somewhat strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with BBVA Banco and Banco Macro

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

The idea behind BBVA Banco Frances and Banco Macro SA 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.