Correlation Between Ferrexpo PLC and Sabien Technology
Can any of the company-specific risk be diversified away by investing in both Ferrexpo PLC and Sabien Technology 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 Sabien Technology into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ferrexpo PLC and Sabien Technology Group, you can compare the effects of market volatilities on Ferrexpo PLC and Sabien Technology 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 Sabien Technology. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ferrexpo PLC and Sabien Technology.
Diversification Opportunities for Ferrexpo PLC and Sabien Technology
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Ferrexpo and Sabien is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Ferrexpo PLC and Sabien Technology Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sabien Technology 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 Sabien Technology. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sabien Technology has no effect on the direction of Ferrexpo PLC i.e., Ferrexpo PLC and Sabien Technology go up and down completely randomly.
Pair Corralation between Ferrexpo PLC and Sabien Technology
Assuming the 90 days trading horizon Ferrexpo PLC is expected to generate 2.8 times more return on investment than Sabien Technology. However, Ferrexpo PLC is 2.8 times more volatile than Sabien Technology Group. It trades about -0.04 of its potential returns per unit of risk. Sabien Technology Group is currently generating about -0.44 per unit of risk. If you would invest 9,910 in Ferrexpo PLC on November 8, 2024 and sell it today you would lose (1,210) from holding Ferrexpo PLC or give up 12.21% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ferrexpo PLC vs. Sabien Technology Group
Performance |
| Timeline |
| Ferrexpo PLC |
| Sabien Technology |
Ferrexpo PLC and Sabien Technology Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ferrexpo PLC and Sabien Technology
The main advantage of trading using opposite Ferrexpo PLC and Sabien Technology positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ferrexpo PLC position performs unexpectedly, Sabien Technology 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 Sabien Technology will offset losses from the drop in Sabien Technology's long position.| Ferrexpo PLC vs. Centaur Media | Ferrexpo PLC vs. Grand Vision Media | Ferrexpo PLC vs. Prosiebensat 1 Media | Ferrexpo PLC vs. Liberty Media Corp |
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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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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