Correlation Between Grupo Mateus and Santos Brasil

Can any of the company-specific risk be diversified away by investing in both Grupo Mateus and Santos Brasil 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 Grupo Mateus and Santos Brasil into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Grupo Mateus SA and Santos Brasil Participaes, you can compare the effects of market volatilities on Grupo Mateus and Santos Brasil 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 Grupo Mateus with a short position of Santos Brasil. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grupo Mateus and Santos Brasil.

Diversification Opportunities for Grupo Mateus and Santos Brasil

-0.03

Correlation Coefficient

Grupo Mateus  Santos Brasil

Good diversification

The 3 months correlation between Grupo and Santos is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Grupo Mateus SA and Santos Brasil Participaes in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Santos Brasil Participaes and Grupo Mateus 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 Grupo Mateus SA are associated (or correlated) with Santos Brasil. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Santos Brasil Participaes has no effect on the direction of Grupo Mateus i.e., Grupo Mateus and Santos Brasil go up and down completely randomly.

Pair Corralation between Grupo Mateus and Santos Brasil

Assuming the 90 days trading horizon Grupo Mateus SA is expected to under-perform the Santos Brasil. In addition to that, Grupo Mateus is 7.17 times more volatile than Santos Brasil Participaes. It trades about -0.11 of its total potential returns per unit of risk. Santos Brasil Participaes is currently generating about 0.2 per unit of volatility. If you would invest  1,285  in Santos Brasil Participaes on September 16, 2024 and sell it today you would earn a total of  15.00  from holding Santos Brasil Participaes or generate 1.17% return on investment over 90 days.

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

Grupo Mateus SA  vs.  Santos Brasil Participaes

Grupo Mateus SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Grupo Mateus SA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Grupo Mateus is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Santos Brasil Participaes

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Santos Brasil Participaes has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Santos Brasil is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Grupo Mateus and Santos Brasil

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

The idea behind Grupo Mateus SA and Santos Brasil Participaes 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.

Check out your portfolio center.

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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.