Correlation Between Orix Corp and Banco Macro

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

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

Diversification Opportunities for Orix Corp and Banco Macro

-0.49

Correlation Coefficient

Orix Corp  Banco Macro

Very good diversification

The 3 months correlation between Orix and Banco is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding Orix Corp Ads 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 Orix Corp 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 Orix Corp Ads 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 Orix Corp i.e., Orix Corp and Banco Macro go up and down completely randomly.

Pair Corralation between Orix Corp and Banco Macro

Allowing for the 90-day total investment horizon Orix Corp Ads is expected to under-perform the Banco Macro. But the stock apears to be less risky and, when comparing its historical volatility, Orix Corp Ads is 3.0 times less risky than Banco Macro. The stock trades about -0.08 of its potential returns per unit of risk. The Banco Macro SA is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest  8,076  in Banco Macro SA on September 26, 2024 and sell it today you would earn a total of  1,928  from holding Banco Macro SA or generate 23.87% return on investment over 90 days.

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

Orix Corp Ads  vs.  Banco Macro SA

Orix Corp Ads

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Orix Corp Ads has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Banco Macro SA

Risk-Adjusted Performance

16 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Banco Macro SA are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak primary indicators, Banco Macro sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Orix Corp and Banco Macro

The main advantage of trading using opposite Orix Corp and Banco Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Orix Corp 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 Orix Corp Ads 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.