Correlation Between Banco Macro and YPF SA

Can any of the company-specific risk be diversified away by investing in both Banco Macro and YPF SA 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 YPF SA 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 YPF SA D, you can compare the effects of market volatilities on Banco Macro and YPF SA 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 YPF SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and YPF SA.

Diversification Opportunities for Banco Macro and YPF SA

0.91

Correlation Coefficient

Banco Macro  YPF SA

Almost no diversification

The 3 months correlation between Banco and YPF is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and YPF SA D in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on YPF SA D 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 YPF SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of YPF SA D has no effect on the direction of Banco Macro i.e., Banco Macro and YPF SA go up and down completely randomly.

Pair Corralation between Banco Macro and YPF SA

Assuming the 90 days trading horizon Banco Macro SA is expected to under-perform the YPF SA. In addition to that, Banco Macro is 1.4 times more volatile than YPF SA D. It trades about -0.03 of its total potential returns per unit of risk. YPF SA D is currently generating about -0.03 per unit of volatility. If you would invest  5,030,000  in YPF SA D on December 29, 2024 and sell it today you would lose (342,500) from holding YPF SA D or give up 6.81% of portfolio value over 90 days.

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

Banco Macro SA  vs.  YPF SA D

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 latest weak performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

YPF SA D

Risk-Adjusted Performance

Very Weak

Over the last 90 days YPF SA D has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, YPF SA is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Banco Macro and YPF SA

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

The idea behind Banco Macro SA and YPF SA D 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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.