Correlation Between Banco Macro and BBVA Banco

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

Diversification Opportunities for Banco Macro and BBVA Banco

0.84

Correlation Coefficient

Banco Macro  BBVA Banco

Very poor diversification

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

Pair Corralation between Banco Macro and BBVA Banco

Considering the 90-day investment horizon Banco Macro SA is expected to under-perform the BBVA Banco. But the stock apears to be less risky and, when comparing its historical volatility, Banco Macro SA is 1.04 times less risky than BBVA Banco. The stock trades about -0.06 of its potential returns per unit of risk. The BBVA Banco Frances is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  1,968  in BBVA Banco Frances on December 27, 2024 and sell it today you would lose (10.00) from holding BBVA Banco Frances or give up 0.51% of portfolio value over 90 days.

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

Banco Macro SA  vs.  BBVA Banco Frances

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.

BBVA Banco Frances

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in BBVA Banco Frances are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. 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.

Pair Trading with Banco Macro and BBVA Banco

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

The idea behind Banco Macro SA and BBVA Banco Frances 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.