Correlation Between Anglo Asian and Ferrexpo PLC
Can any of the company-specific risk be diversified away by investing in both Anglo Asian and Ferrexpo PLC 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 Anglo Asian and Ferrexpo PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Anglo Asian Mining and Ferrexpo PLC, you can compare the effects of market volatilities on Anglo Asian and Ferrexpo PLC 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 Anglo Asian with a short position of Ferrexpo PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Anglo Asian and Ferrexpo PLC.
Diversification Opportunities for Anglo Asian and Ferrexpo PLC
0.39 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Anglo and Ferrexpo is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding Anglo Asian Mining and Ferrexpo PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ferrexpo PLC and Anglo Asian 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 Anglo Asian Mining are associated (or correlated) with Ferrexpo PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ferrexpo PLC has no effect on the direction of Anglo Asian i.e., Anglo Asian and Ferrexpo PLC go up and down completely randomly.
Pair Corralation between Anglo Asian and Ferrexpo PLC
Assuming the 90 days trading horizon Anglo Asian is expected to generate 5.7 times less return on investment than Ferrexpo PLC. But when comparing it to its historical volatility, Anglo Asian Mining is 1.93 times less risky than Ferrexpo PLC. It trades about 0.07 of its potential returns per unit of risk. Ferrexpo PLC is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 4,790 in Ferrexpo PLC on August 28, 2024 and sell it today you would earn a total of 3,020 from holding Ferrexpo PLC or generate 63.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Anglo Asian Mining vs. Ferrexpo PLC
Performance |
| Timeline |
| Anglo Asian Mining |
| Ferrexpo PLC |
Anglo Asian and Ferrexpo PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Anglo Asian and Ferrexpo PLC
The main advantage of trading using opposite Anglo Asian and Ferrexpo PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Anglo Asian position performs unexpectedly, Ferrexpo PLC 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 Ferrexpo PLC will offset losses from the drop in Ferrexpo PLC's long position.| Anglo Asian vs. Givaudan SA | Anglo Asian vs. Antofagasta PLC | Anglo Asian vs. Centamin PLC | Anglo Asian vs. Atalaya Mining |
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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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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