Correlation Between Impresa Sociedade and Martifer SGPS

Can any of the company-specific risk be diversified away by investing in both Impresa Sociedade and Martifer SGPS 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 Impresa Sociedade and Martifer SGPS into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for Impresa Sociedade and Martifer SGPS

-0.59

Correlation Coefficient

Impresa Sociedade  Martifer SGPS

Excellent diversification

The 3 months correlation between Impresa and Martifer is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding Impresa Sociedade and Martifer SGPS SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Martifer SGPS SA and Impresa Sociedade 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 Impresa Sociedade are associated (or correlated) with Martifer SGPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Martifer SGPS SA has no effect on the direction of Impresa Sociedade i.e., Impresa Sociedade and Martifer SGPS go up and down completely randomly.

Pair Corralation between Impresa Sociedade and Martifer SGPS

Assuming the 90 days trading horizon Impresa Sociedade is expected to under-perform the Martifer SGPS. In addition to that, Impresa Sociedade is 2.68 times more volatile than Martifer SGPS SA. It trades about -0.03 of its total potential returns per unit of risk. Martifer SGPS SA is currently generating about 0.14 per unit of volatility. If you would invest  172.00  in Martifer SGPS SA on December 28, 2024 and sell it today you would earn a total of  18.00  from holding Martifer SGPS SA or generate 10.47% return on investment over 90 days.

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

Impresa Sociedade  vs.  Martifer SGPS SA

Impresa Sociedade

Risk-Adjusted Performance

Very Weak

Over the last 90 days Impresa Sociedade has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Martifer SGPS SA

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Martifer SGPS SA are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Martifer SGPS may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Impresa Sociedade and Martifer SGPS

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

The idea behind Impresa Sociedade and Martifer SGPS 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.