Correlation Between Cresud SACIF and MRM SA

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

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

Diversification Opportunities for Cresud SACIF and MRM SA

0.45

Correlation Coefficient

Cresud SACIF  MRM SA

Very weak diversification

The 3 months correlation between Cresud and MRM is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Cresud SACIF y and MRM SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MRM SA and Cresud SACIF 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 Cresud SACIF y are associated (or correlated) with MRM SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MRM SA has no effect on the direction of Cresud SACIF i.e., Cresud SACIF and MRM SA go up and down completely randomly.

Pair Corralation between Cresud SACIF and MRM SA

Assuming the 90 days horizon Cresud SACIF is expected to generate 1.42 times less return on investment than MRM SA. But when comparing it to its historical volatility, Cresud SACIF y is 2.78 times less risky than MRM SA. It trades about 0.09 of its potential returns per unit of risk. MRM SA is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  1,921  in MRM SA on October 5, 2024 and sell it today you would earn a total of  1,629  from holding MRM SA or generate 84.8% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	99.03%
Values	Daily Returns

Cresud SACIF y  vs.  MRM SA

Cresud SACIF y

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Cresud SACIF y are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. In spite of fairly fragile basic indicators, Cresud SACIF showed solid returns over the last few months and may actually be approaching a breakup point.

MRM SA

Risk-Adjusted Performance

0 of 100

Good

Over the last 90 days MRM SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong primary indicators, MRM 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 Cresud SACIF and MRM SA

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

The idea behind Cresud SACIF y and MRM 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.