Correlation Between Ferrexpo PLC and Savannah Resources
Can any of the company-specific risk be diversified away by investing in both Ferrexpo PLC and Savannah Resources 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 Ferrexpo PLC and Savannah Resources into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ferrexpo PLC and Savannah Resources Plc, you can compare the effects of market volatilities on Ferrexpo PLC and Savannah Resources 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 Ferrexpo PLC with a short position of Savannah Resources. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ferrexpo PLC and Savannah Resources.
Diversification Opportunities for Ferrexpo PLC and Savannah Resources
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Ferrexpo and Savannah is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Ferrexpo PLC and Savannah Resources Plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Savannah Resources Plc and Ferrexpo PLC 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 Ferrexpo PLC are associated (or correlated) with Savannah Resources. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Savannah Resources Plc has no effect on the direction of Ferrexpo PLC i.e., Ferrexpo PLC and Savannah Resources go up and down completely randomly.
Pair Corralation between Ferrexpo PLC and Savannah Resources
Assuming the 90 days trading horizon Ferrexpo PLC is expected to generate 3.16 times less return on investment than Savannah Resources. In addition to that, Ferrexpo PLC is 1.12 times more volatile than Savannah Resources Plc. It trades about 0.01 of its total potential returns per unit of risk. Savannah Resources Plc is currently generating about 0.04 per unit of volatility. If you would invest 265.00 in Savannah Resources Plc on November 2, 2024 and sell it today you would earn a total of 160.00 from holding Savannah Resources Plc or generate 60.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ferrexpo PLC vs. Savannah Resources Plc
Performance |
| Timeline |
| Ferrexpo PLC |
| Savannah Resources Plc |
Ferrexpo PLC and Savannah Resources Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ferrexpo PLC and Savannah Resources
The main advantage of trading using opposite Ferrexpo PLC and Savannah Resources positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ferrexpo PLC position performs unexpectedly, Savannah Resources 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 Savannah Resources will offset losses from the drop in Savannah Resources' long position.| Ferrexpo PLC vs. Compagnie Plastic Omnium | Ferrexpo PLC vs. Lindsell Train Investment | Ferrexpo PLC vs. Edinburgh Investment Trust | Ferrexpo PLC vs. Vietnam Enterprise Investments |
| Savannah Resources vs. Spirent Communications plc | Savannah Resources vs. Various Eateries PLC | Savannah Resources vs. Gamma Communications PLC | Savannah Resources vs. Kaufman Et Broad |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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