Correlation Between Ferrovial and Sacyr SA
Can any of the company-specific risk be diversified away by investing in both Ferrovial and Sacyr SA 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 Ferrovial and Sacyr SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ferrovial and Sacyr SA, you can compare the effects of market volatilities on Ferrovial and Sacyr SA 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 Ferrovial with a short position of Sacyr SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ferrovial and Sacyr SA.
Diversification Opportunities for Ferrovial and Sacyr SA
Weak diversification
The 3 months correlation between Ferrovial and Sacyr is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Ferrovial and Sacyr SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sacyr SA and Ferrovial 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 Ferrovial are associated (or correlated) with Sacyr SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sacyr SA has no effect on the direction of Ferrovial i.e., Ferrovial and Sacyr SA go up and down completely randomly.
Pair Corralation between Ferrovial and Sacyr SA
Assuming the 90 days trading horizon Ferrovial is expected to generate 0.97 times more return on investment than Sacyr SA. However, Ferrovial is 1.03 times less risky than Sacyr SA. It trades about 0.07 of its potential returns per unit of risk. Sacyr SA is currently generating about -0.03 per unit of risk. If you would invest 3,616 in Ferrovial on September 12, 2024 and sell it today you would earn a total of 396.00 from holding Ferrovial or generate 10.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ferrovial vs. Sacyr SA
Performance |
| Timeline |
| Ferrovial |
| Sacyr SA |
Ferrovial and Sacyr SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ferrovial and Sacyr SA
The main advantage of trading using opposite Ferrovial and Sacyr SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ferrovial position performs unexpectedly, Sacyr SA 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 Sacyr SA will offset losses from the drop in Sacyr SA's long position.The idea behind Ferrovial and Sacyr 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.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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
Other Complementary Tools
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals |