Correlation Between Banco Macro and Grupo Supervielle

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

Diversification Opportunities for Banco Macro and Grupo Supervielle

0.95

Correlation Coefficient

Banco Macro  Grupo Supervielle

Almost no diversification

The 3 months correlation between Banco and Grupo is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Grupo Supervielle SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grupo Supervielle 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 Grupo Supervielle. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grupo Supervielle has no effect on the direction of Banco Macro i.e., Banco Macro and Grupo Supervielle go up and down completely randomly.

Pair Corralation between Banco Macro and Grupo Supervielle

Considering the 90-day investment horizon Banco Macro is expected to generate 2.8 times less return on investment than Grupo Supervielle. But when comparing it to its historical volatility, Banco Macro SA is 1.04 times less risky than Grupo Supervielle. It trades about 0.03 of its potential returns per unit of risk. Grupo Supervielle SA is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  1,193  in Grupo Supervielle SA on November 28, 2024 and sell it today you would earn a total of  187.00  from holding Grupo Supervielle SA or generate 15.67% return on investment over 90 days.

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

Banco Macro SA  vs.  Grupo Supervielle SA

Banco Macro SA

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Banco Macro SA are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite somewhat abnormal primary indicators, Banco Macro may actually be approaching a critical reversion point that can send shares even higher in March 2025.

Grupo Supervielle

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Grupo Supervielle SA are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of fairly conflicting basic indicators, Grupo Supervielle showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Banco Macro and Grupo Supervielle

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

The idea behind Banco Macro SA and Grupo Supervielle 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.