Correlation Between Santos Brasil and Grupo Mateus

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

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

Diversification Opportunities for Santos Brasil and Grupo Mateus

0.02

Correlation Coefficient

Santos Brasil  Grupo Mateus

Significant diversification

The 3 months correlation between Santos and Grupo is 0.02. Overlapping area represents the amount of risk that can be diversified away by holding Santos Brasil Participaes and Grupo Mateus SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grupo Mateus SA and Santos Brasil 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 Santos Brasil Participaes are associated (or correlated) with Grupo Mateus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grupo Mateus SA has no effect on the direction of Santos Brasil i.e., Santos Brasil and Grupo Mateus go up and down completely randomly.

Pair Corralation between Santos Brasil and Grupo Mateus

Assuming the 90 days trading horizon Santos Brasil is expected to generate 4.11 times less return on investment than Grupo Mateus. But when comparing it to its historical volatility, Santos Brasil Participaes is 7.46 times less risky than Grupo Mateus. It trades about 0.17 of its potential returns per unit of risk. Grupo Mateus SA is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  633.00  in Grupo Mateus SA on December 28, 2024 and sell it today you would earn a total of  74.00  from holding Grupo Mateus SA or generate 11.69% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Santos Brasil Participaes  vs.  Grupo Mateus SA

Santos Brasil Participaes

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Santos Brasil Participaes are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Santos Brasil is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Grupo Mateus SA

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Grupo Mateus SA are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Grupo Mateus unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Santos Brasil and Grupo Mateus

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

The idea behind Santos Brasil Participaes and Grupo Mateus 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.

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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.