Correlation Between Merchants Bancorp and Banco Macro

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

Diversification Opportunities for Merchants Bancorp and Banco Macro

0.79
  Correlation Coefficient

Poor diversification

The 3 months correlation between Merchants and Banco is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Merchants Bancorp 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 Merchants Bancorp 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 Merchants Bancorp 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 Merchants Bancorp i.e., Merchants Bancorp and Banco Macro go up and down completely randomly.

Pair Corralation between Merchants Bancorp and Banco Macro

Given the investment horizon of 90 days Merchants Bancorp is expected to under-perform the Banco Macro. But the stock apears to be less risky and, when comparing its historical volatility, Merchants Bancorp is 1.44 times less risky than Banco Macro. The stock trades about -0.13 of its potential returns per unit of risk. The Banco Macro SA is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  1,331  in Banco Macro SA on April 6, 2022 and sell it today you would lose (209.00)  from holding Banco Macro SA or give up 15.7% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Merchants Bancorp  vs.  Banco Macro SA

 Performance (%) 
      Timeline 
Merchants Bancorp 
Merchants Performance
0 of 100
Over the last 90 days Merchants Bancorp has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's forward indicators remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0121
Payout Ratio
0.0467
Last Split Factor
3:2
Forward Annual Dividend Rate
0.28
Dividend Date
2022-07-01
Ex Dividend Date
2022-06-14
Last Split Date
2022-01-18

Merchants Price Channel

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 weak 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

Merchants Bancorp and Banco Macro Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Merchants Bancorp and Banco Macro

The main advantage of trading using opposite Merchants Bancorp and Banco Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Merchants Bancorp 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.

Merchants Bancorp

Pair trading matchups for Merchants Bancorp

Twitter vs. Merchants Bancorp
Chemocentryx vs. Merchants Bancorp
Kura Oncology vs. Merchants Bancorp
Otp Bank vs. Merchants Bancorp
Ultrashort MSCI vs. Merchants Bancorp
Bidvest vs. Merchants Bancorp
Dupont Denemours vs. Merchants Bancorp
Vmware vs. Merchants Bancorp
Cansino Biologics vs. Merchants Bancorp
Walker Dunlop vs. Merchants Bancorp
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Merchants Bancorp as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Merchants Bancorp's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Merchants Bancorp's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Merchants Bancorp.
The idea behind Merchants Bancorp 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.

Banco Macro SA

Pair trading matchups for Banco Macro

Vmware vs. Banco Macro
Definitive Healthcare vs. Banco Macro
Visa vs. Banco Macro
Twitter vs. Banco Macro
Microsoft Corp vs. Banco Macro
Chemocentryx vs. Banco Macro
Ollies Bargain vs. Banco Macro
Kura Oncology vs. Banco Macro
Cansino Biologics vs. Banco Macro
Citigroup vs. Banco Macro
Walker Dunlop vs. Banco Macro
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Banco Macro as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Banco Macro's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Banco Macro's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Banco Macro SA.
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.

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