Correlation Between Cresud SACIF and Empire State

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

Diversification Opportunities for Cresud SACIF and Empire State

-0.39

Correlation Coefficient

Cresud SACIF  Empire State

Very good diversification

The 3 months correlation between Cresud and Empire is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding Cresud SACIF y and Empire State Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Empire State Realty 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 Empire State. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Empire State Realty has no effect on the direction of Cresud SACIF i.e., Cresud SACIF and Empire State go up and down completely randomly.

Pair Corralation between Cresud SACIF and Empire State

Assuming the 90 days horizon Cresud SACIF y is expected to generate 1.38 times more return on investment than Empire State. However, Cresud SACIF is 1.38 times more volatile than Empire State Realty. It trades about -0.01 of its potential returns per unit of risk. Empire State Realty is currently generating about -0.19 per unit of risk. If you would invest  1,368  in Cresud SACIF y on October 9, 2024 and sell it today you would lose (17.00) from holding Cresud SACIF y or give up 1.24% of portfolio value over 90 days.

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

Cresud SACIF y  vs.  Empire State Realty

Cresud SACIF y

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Cresud SACIF y are ranked lower than 18 (%) 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.

Empire State Realty

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Empire State Realty has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable fundamental indicators, Empire State is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Cresud SACIF and Empire State

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

The idea behind Cresud SACIF y and Empire State Realty 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.