Correlation Between Fundo Investimento and Btsp II

Can any of the company-specific risk be diversified away by investing in both Fundo Investimento and Btsp II 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 Fundo Investimento and Btsp II into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Fundo Investimento Imobiliario and Btsp II Fundo, you can compare the effects of market volatilities on Fundo Investimento and Btsp II 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 Fundo Investimento with a short position of Btsp II. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fundo Investimento and Btsp II.

Diversification Opportunities for Fundo Investimento and Btsp II

-0.23

Correlation Coefficient

Fundo Investimento  Btsp II

Very good diversification

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

Pair Corralation between Fundo Investimento and Btsp II

Assuming the 90 days trading horizon Fundo Investimento is expected to generate 1.92 times less return on investment than Btsp II. But when comparing it to its historical volatility, Fundo Investimento Imobiliario is 1.34 times less risky than Btsp II. It trades about 0.02 of its potential returns per unit of risk. Btsp II Fundo is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  9,316  in Btsp II Fundo on October 10, 2024 and sell it today you would earn a total of  1,844  from holding Btsp II Fundo or generate 19.79% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	73.28%
Values	Daily Returns

Fundo Investimento Imobiliario  vs.  Btsp II Fundo

Fundo Investimento

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fundo Investimento Imobiliario has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong essential indicators, Fundo Investimento is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Btsp II Fundo

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Btsp II Fundo are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Btsp II is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Fundo Investimento and Btsp II

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

The idea behind Fundo Investimento Imobiliario and Btsp II Fundo 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.