Correlation Between ITUB4F and Itasa Investimentos

Can any of the company-specific risk be diversified away by investing in both ITUB4F and Itasa Investimentos 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 ITUB4F and Itasa Investimentos into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ITUB4F and Itasa Investimentos, you can compare the effects of market volatilities on ITUB4F and Itasa Investimentos 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 ITUB4F with a short position of Itasa Investimentos. Check out your portfolio center. Please also check ongoing floating volatility patterns of ITUB4F and Itasa Investimentos.

Diversification Opportunities for ITUB4F and Itasa Investimentos

0.84

Correlation Coefficient

ITUB4F  Itasa Investimentos

Very poor diversification

The 3 months correlation between ITUB4F and Itasa is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding ITUB4F and Itasa Investimentos in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Itasa Investimentos and ITUB4F 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 ITUB4F are associated (or correlated) with Itasa Investimentos. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Itasa Investimentos has no effect on the direction of ITUB4F i.e., ITUB4F and Itasa Investimentos go up and down completely randomly.

Pair Corralation between ITUB4F and Itasa Investimentos

Assuming the 90 days trading horizon ITUB4F is expected to generate 1.16 times more return on investment than Itasa Investimentos. However, ITUB4F is 1.16 times more volatile than Itasa Investimentos. It trades about 0.06 of its potential returns per unit of risk. Itasa Investimentos is currently generating about 0.04 per unit of risk. If you would invest  3,334  in ITUB4F on April 20, 2025 and sell it today you would earn a total of  166.00  from holding ITUB4F or generate 4.98% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	95.24%
Values	Daily Returns

ITUB4F  vs.  Itasa Investimentos

ITUB4F

Risk-Adjusted Performance

Insignificant

Over the last 90 days ITUB4F has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, ITUB4F is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Itasa Investimentos

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Itasa Investimentos are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Itasa Investimentos is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with ITUB4F and Itasa Investimentos

The main advantage of trading using opposite ITUB4F and Itasa Investimentos positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ITUB4F position performs unexpectedly, Itasa Investimentos 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 Itasa Investimentos will offset losses from the drop in Itasa Investimentos' long position.

The idea behind ITUB4F and Itasa Investimentos 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 Commodity Directory module to find actively traded commodities issued by global exchanges.