Correlation Between PBF Energy and Ultrapar Participacoes

Can any of the company-specific risk be diversified away by investing in both PBF Energy and Ultrapar Participacoes 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 PBF Energy and Ultrapar Participacoes into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for PBF Energy and Ultrapar Participacoes

-0.48

Correlation Coefficient

PBF Energy  Ultrapar Participacoes

Very good diversification

The 3 months correlation between PBF and Ultrapar is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding PBF Energy and Ultrapar Participacoes SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultrapar Participacoes and PBF Energy 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 PBF Energy are associated (or correlated) with Ultrapar Participacoes. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultrapar Participacoes has no effect on the direction of PBF Energy i.e., PBF Energy and Ultrapar Participacoes go up and down completely randomly.

Pair Corralation between PBF Energy and Ultrapar Participacoes

Considering the 90-day investment horizon PBF Energy is expected to under-perform the Ultrapar Participacoes. In addition to that, PBF Energy is 1.39 times more volatile than Ultrapar Participacoes SA. It trades about -0.1 of its total potential returns per unit of risk. Ultrapar Participacoes SA is currently generating about 0.12 per unit of volatility. If you would invest  260.00  in Ultrapar Participacoes SA on December 28, 2024 and sell it today you would earn a total of  51.00  from holding Ultrapar Participacoes SA or generate 19.62% return on investment over 90 days.

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

PBF Energy  vs.  Ultrapar Participacoes SA

PBF Energy

Risk-Adjusted Performance

Very Weak

Over the last 90 days PBF Energy has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's fundamental drivers remain nearly stable which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Ultrapar Participacoes

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ultrapar Participacoes SA are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Even with relatively uncertain technical and fundamental indicators, Ultrapar Participacoes reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PBF Energy and Ultrapar Participacoes

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

The idea behind PBF Energy and Ultrapar Participacoes 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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.