Correlation Between Banco Macro and First Bancorp

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Can any of the company-specific risk be diversified away by investing in both Banco Macro and First Bancorp 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 First Bancorp 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 First Bancorp, you can compare the effects of market volatilities on Banco Macro and First Bancorp 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 First Bancorp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and First Bancorp.

Diversification Opportunities for Banco Macro and First Bancorp

0.08
  Correlation Coefficient

Significant diversification

The 3 months correlation between Banco and First is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and First Bancorp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Bancorp 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 First Bancorp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Bancorp has no effect on the direction of Banco Macro i.e., Banco Macro and First Bancorp go up and down completely randomly.

Pair Corralation between Banco Macro and First Bancorp

Considering the 90-day investment horizon Banco Macro SA is expected to under-perform the First Bancorp. In addition to that, Banco Macro is 1.69 times more volatile than First Bancorp. It trades about -0.43 of its total potential returns per unit of risk. First Bancorp is currently generating about 0.04 per unit of volatility. If you would invest  2,998  in First Bancorp on April 4, 2022 and sell it today you would earn a total of  33.00  from holding First Bancorp or generate 1.1% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Banco Macro SA  vs.  First Bancorp

 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

First Bancorp 
First Performance
2 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in First Bancorp are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong essential indicators, First Bancorp is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0422
Payout Ratio
0.38
Last Split Factor
3:1
Forward Annual Dividend Rate
1.28
Dividend Date
2022-04-22
Ex Dividend Date
2022-04-08
Last Split Date
2004-06-02

First Price Channel

Banco Macro and First Bancorp Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Banco Macro and First Bancorp

The main advantage of trading using opposite Banco Macro and First Bancorp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banco Macro position performs unexpectedly, First Bancorp 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 First Bancorp will offset losses from the drop in First Bancorp's long position.
The idea behind Banco Macro SA and First Bancorp 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

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