Correlation Between Banco Macro and Banco DE

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Can any of the company-specific risk be diversified away by investing in both Banco Macro and Banco DE 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 Banco Macro and Banco DE into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Banco Macro SA and Banco DE Chile, you can compare the effects of market volatilities on Banco Macro and Banco DE 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 Banco Macro with a short position of Banco DE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and Banco DE.

Diversification Opportunities for Banco Macro and Banco DE

0.84
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Banco and Banco is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Banco DE Chile in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Banco DE Chile and Banco Macro 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 Banco Macro SA are associated (or correlated) with Banco DE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Banco DE Chile has no effect on the direction of Banco Macro i.e., Banco Macro and Banco DE go up and down completely randomly.

Pair Corralation between Banco Macro and Banco DE

Considering the 90-day investment horizon Banco Macro SA is expected to under-perform the Banco DE. In addition to that, Banco Macro is 1.28 times more volatile than Banco DE Chile. It trades about -0.03 of its total potential returns per unit of risk. Banco DE Chile is currently generating about 0.09 per unit of volatility. If you would invest  1,471  in Banco DE Chile on April 4, 2022 and sell it today you would earn a total of  352.00  from holding Banco DE Chile or generate 23.93% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Banco Macro SA  vs.  Banco DE Chile

 Performance (%) 
      Timeline 
Banco Macro SA 
Banco Performance
0 of 100
Over the last 90 days Banco Macro SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite uncertain performance in the last few months, the Stock's primary indicators remain somewhat strong which may send shares a bit higher in August 2022. The current disturbance may also be a sign of long term up-swing for the company investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0617
Payout Ratio
0.15
Forward Annual Dividend Rate
0.72
Dividend Date
2022-06-30
Ex Dividend Date
2022-06-03

Banco Price Channel

Banco DE Chile 
Banco Performance
0 of 100
Over the last 90 days Banco DE Chile has generated negative risk-adjusted returns adding no value to investors with long positions. Despite uncertain performance in the last few months, the Stock's fundamental indicators remain nearly stable which may send shares a bit higher in August 2022. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0751
Payout Ratio
0.59
Last Split Factor
3:1
Forward Annual Dividend Rate
1.37
Dividend Date
2022-04-07
Ex Dividend Date
2022-03-28
Last Split Date
2018-11-23

Banco Price Channel

Banco Macro and Banco DE Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Banco Macro and Banco DE

The main advantage of trading using opposite Banco Macro and Banco DE positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banco Macro position performs unexpectedly, Banco DE 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 DE will offset losses from the drop in Banco DE's long position.
The idea behind Banco Macro SA and Banco DE Chile 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.

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