Correlation Between Itau Unibanco and Banco Macro

Can any of the company-specific risk be diversified away by investing in both Itau Unibanco and Banco Macro 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 Itau Unibanco and Banco Macro into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for Itau Unibanco and Banco Macro

-0.8

Correlation Coefficient

Itau Unibanco  Banco Macro

Pay attention - limited upside

The 3 months correlation between Itau and Banco is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding Itau Unibanco Banco and Banco Macro SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Banco Macro SA and Itau Unibanco 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 Itau Unibanco Banco are associated (or correlated) with Banco Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Banco Macro SA has no effect on the direction of Itau Unibanco i.e., Itau Unibanco and Banco Macro go up and down completely randomly.

Pair Corralation between Itau Unibanco and Banco Macro

Given the investment horizon of 90 days Itau Unibanco Banco is expected to generate 0.42 times more return on investment than Banco Macro. However, Itau Unibanco Banco is 2.36 times less risky than Banco Macro. It trades about 0.27 of its potential returns per unit of risk. Banco Macro SA is currently generating about -0.06 per unit of risk. If you would invest  426.00  in Itau Unibanco Banco on December 28, 2024 and sell it today you would earn a total of  134.00  from holding Itau Unibanco Banco or generate 31.46% return on investment over 90 days.

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

Itau Unibanco Banco  vs.  Banco Macro SA

Itau Unibanco Banco

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Itau Unibanco Banco are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. Despite somewhat conflicting basic indicators, Itau Unibanco sustained solid returns over the last few months and may actually be approaching a breakup point.

Banco Macro SA

Risk-Adjusted Performance

Very Weak

Over the last 90 days Banco Macro SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite abnormal performance in the last few months, the Stock's primary indicators remain somewhat strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with Itau Unibanco and Banco Macro

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

The idea behind Itau Unibanco Banco and Banco Macro 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.