Correlation Between Itau Unibanco and Novartis
Can any of the company-specific risk be diversified away by investing in both Itau Unibanco and Novartis 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 Itau Unibanco and Novartis into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itau Unibanco Banco and Novartis AG ADR, you can compare the effects of market volatilities on Itau Unibanco and Novartis 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 Itau Unibanco with a short position of Novartis. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itau Unibanco and Novartis.
Diversification Opportunities for Itau Unibanco and Novartis
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Itau and Novartis is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Itau Unibanco Banco and Novartis AG ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Novartis AG ADR and Itau Unibanco 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 Itau Unibanco Banco are associated (or correlated) with Novartis. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Novartis AG ADR has no effect on the direction of Itau Unibanco i.e., Itau Unibanco and Novartis go up and down completely randomly.
Pair Corralation between Itau Unibanco and Novartis
Given the investment horizon of 90 days Itau Unibanco Banco is expected to under-perform the Novartis. In addition to that, Itau Unibanco is 1.9 times more volatile than Novartis AG ADR. It trades about -0.29 of its total potential returns per unit of risk. Novartis AG ADR is currently generating about -0.14 per unit of volatility. If you would invest 9,592 in Novartis AG ADR on January 18, 2024 and sell it today you would lose (284.00) from holding Novartis AG ADR or give up 2.96% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 95.65% |
Values | Daily Returns |
Itau Unibanco Banco vs. Novartis AG ADR
Performance |
Timeline |
Itau Unibanco Banco |
Novartis AG ADR |
Itau Unibanco and Novartis Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Itau Unibanco and Novartis
The main advantage of trading using opposite Itau Unibanco and Novartis positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itau Unibanco position performs unexpectedly, Novartis 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 Novartis will offset losses from the drop in Novartis' long position.Itau Unibanco vs. Woori Financial Group | Itau Unibanco vs. Korea Electric Power | Itau Unibanco vs. Orix Corp Ads | Itau Unibanco vs. SK Telecom Co |
Novartis vs. PetIQ Inc | Novartis vs. Emergent Biosolutions | Novartis vs. Neurocrine Biosciences | Novartis vs. Haleon plc |
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 the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Other Complementary Tools
Fundamental Analysis View fundamental data based on most recent published financial statements | |
Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
Commodity Directory Find actively traded commodities issued by global exchanges | |
Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
AI Investment Finder Use AI to screen and filter profitable investment opportunities | |
Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges |