Correlation Between Banco Macro and Banco Santander

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

Diversification Opportunities for Banco Macro and Banco Santander

-0.68

Correlation Coefficient

Banco Macro  Banco Santander

Excellent diversification

The 3 months correlation between Banco and Banco is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Banco Santander Brasil in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Banco Santander Brasil 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 Santander. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Banco Santander Brasil has no effect on the direction of Banco Macro i.e., Banco Macro and Banco Santander go up and down completely randomly.

Pair Corralation between Banco Macro and Banco Santander

Considering the 90-day investment horizon Banco Macro SA is expected to under-perform the Banco Santander. In addition to that, Banco Macro is 1.91 times more volatile than Banco Santander Brasil. It trades about -0.06 of its total potential returns per unit of risk. Banco Santander Brasil is currently generating about 0.18 per unit of volatility. If you would invest  387.00  in Banco Santander Brasil on December 27, 2024 and sell it today you would earn a total of  94.00  from holding Banco Santander Brasil or generate 24.29% return on investment over 90 days.

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

Banco Macro SA  vs.  Banco Santander Brasil

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.

Banco Santander Brasil

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Banco Santander Brasil are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Even with relatively inconsistent fundamental drivers, Banco Santander reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Banco Macro and Banco Santander

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

The idea behind Banco Macro SA and Banco Santander Brasil 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.