Correlation Between Banco Macro and Banco Hipotecario

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

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

Diversification Opportunities for Banco Macro and Banco Hipotecario

0.48

Correlation Coefficient

Banco Macro  Banco Hipotecario

Very weak diversification

The 3 months correlation between Banco and Banco is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Banco Hipotecario SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Banco Hipotecario and Banco Macro 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 Banco Macro SA are associated (or correlated) with Banco Hipotecario. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Banco Hipotecario has no effect on the direction of Banco Macro i.e., Banco Macro and Banco Hipotecario go up and down completely randomly.

Pair Corralation between Banco Macro and Banco Hipotecario

Assuming the 90 days trading horizon Banco Macro SA is expected to generate 1.38 times more return on investment than Banco Hipotecario. However, Banco Macro is 1.38 times more volatile than Banco Hipotecario SA. It trades about 0.42 of its potential returns per unit of risk. Banco Hipotecario SA is currently generating about 0.3 per unit of risk. If you would invest  914,000  in Banco Macro SA on October 11, 2024 and sell it today you would earn a total of  453,500  from holding Banco Macro SA or generate 49.62% return on investment over 90 days.

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

Banco Macro SA  vs.  Banco Hipotecario SA

Banco Macro SA

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Banco Macro SA are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Banco Macro sustained solid returns over the last few months and may actually be approaching a breakup point.

Banco Hipotecario

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Banco Hipotecario SA are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Banco Hipotecario sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Banco Macro and Banco Hipotecario

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

The idea behind Banco Macro SA and Banco Hipotecario 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.