Correlation Between Refinaria and Recrusul

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

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

Diversification Opportunities for Refinaria and Recrusul

-0.58

Correlation Coefficient

Refinaria  Recrusul

Excellent diversification

The 3 months correlation between Refinaria and Recrusul is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding Refinaria de Petrleos and Recrusul SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Recrusul SA and Refinaria 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 Refinaria de Petrleos are associated (or correlated) with Recrusul. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Recrusul SA has no effect on the direction of Refinaria i.e., Refinaria and Recrusul go up and down completely randomly.

Pair Corralation between Refinaria and Recrusul

Assuming the 90 days trading horizon Refinaria is expected to generate 1.55 times less return on investment than Recrusul. But when comparing it to its historical volatility, Refinaria de Petrleos is 4.74 times less risky than Recrusul. It trades about 0.05 of its potential returns per unit of risk. Recrusul SA is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  1,184  in Recrusul SA on September 13, 2024 and sell it today you would lose (1,038) from holding Recrusul SA or give up 87.67% of portfolio value over 90 days.

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

Refinaria de Petrleos  vs.  Recrusul SA

Refinaria de Petrleos

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Refinaria de Petrleos has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of uncertain performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in January 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Recrusul SA

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Recrusul SA are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Recrusul unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Refinaria and Recrusul

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

The idea behind Refinaria de Petrleos and Recrusul 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.