Correlation Between Value Grupo and Gruma SAB

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

By analyzing existing cross correlation between Value Grupo Financiero and Gruma SAB de, you can compare the effects of market volatilities on Value Grupo and Gruma SAB 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 Value Grupo with a short position of Gruma SAB. Check out your portfolio center. Please also check ongoing floating volatility patterns of Value Grupo and Gruma SAB.

Diversification Opportunities for Value Grupo and Gruma SAB

0.23

Correlation Coefficient

Value Grupo  Gruma SAB

Modest diversification

The 3 months correlation between Value and Gruma is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Value Grupo Financiero and Gruma SAB de in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gruma SAB de and Value Grupo 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 Value Grupo Financiero are associated (or correlated) with Gruma SAB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gruma SAB de has no effect on the direction of Value Grupo i.e., Value Grupo and Gruma SAB go up and down completely randomly.

Pair Corralation between Value Grupo and Gruma SAB

Assuming the 90 days trading horizon Value Grupo Financiero is expected to generate 2.23 times more return on investment than Gruma SAB. However, Value Grupo is 2.23 times more volatile than Gruma SAB de. It trades about 0.22 of its potential returns per unit of risk. Gruma SAB de is currently generating about -0.07 per unit of risk. If you would invest  8,090  in Value Grupo Financiero on September 27, 2024 and sell it today you would earn a total of  1,214  from holding Value Grupo Financiero or generate 15.01% return on investment over 90 days.

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

Value Grupo Financiero  vs.  Gruma SAB de

Value Grupo Financiero

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Value Grupo Financiero has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable technical and fundamental indicators, Value Grupo is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

Gruma SAB de

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gruma SAB de has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Pair Trading with Value Grupo and Gruma SAB

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

The idea behind Value Grupo Financiero and Gruma SAB de 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.