Correlation Between Ferrexpo PLC and Santeon

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

By analyzing existing cross correlation between Ferrexpo PLC and Santeon Group, you can compare the effects of market volatilities on Ferrexpo PLC and Santeon 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 Santeon. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ferrexpo PLC and Santeon.

Diversification Opportunities for Ferrexpo PLC and Santeon

-0.04

Correlation Coefficient

Ferrexpo PLC  Santeon

Good diversification

The 3 months correlation between Ferrexpo and Santeon is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Ferrexpo PLC and Santeon Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Santeon Group 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 Santeon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Santeon Group has no effect on the direction of Ferrexpo PLC i.e., Ferrexpo PLC and Santeon go up and down completely randomly.

Pair Corralation between Ferrexpo PLC and Santeon

Assuming the 90 days horizon Ferrexpo PLC is expected to generate 1.25 times more return on investment than Santeon. However, Ferrexpo PLC is 1.25 times more volatile than Santeon Group. It trades about 0.21 of its potential returns per unit of risk. Santeon Group is currently generating about -0.03 per unit of risk. If you would invest  98.00  in Ferrexpo PLC on September 22, 2024 and sell it today you would earn a total of  57.00  from holding Ferrexpo PLC or generate 58.16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

Ferrexpo PLC  vs.  Santeon Group

Ferrexpo PLC

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Ferrexpo PLC are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Ferrexpo PLC reported solid returns over the last few months and may actually be approaching a breakup point.

Santeon Group

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Santeon Group are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively inconsistent basic indicators, Santeon unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Ferrexpo PLC and Santeon

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

The idea behind Ferrexpo PLC and Santeon Group 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.