Correlation Between Ferrexpo PLC and Givaudan

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

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

Diversification Opportunities for Ferrexpo PLC and Givaudan

-0.78

Correlation Coefficient

Ferrexpo PLC  Givaudan

Pay attention - limited upside

The 3 months correlation between Ferrexpo and Givaudan is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding Ferrexpo PLC and Givaudan SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Givaudan SA 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 Givaudan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Givaudan SA has no effect on the direction of Ferrexpo PLC i.e., Ferrexpo PLC and Givaudan go up and down completely randomly.

Pair Corralation between Ferrexpo PLC and Givaudan

Assuming the 90 days trading horizon Ferrexpo PLC is expected to under-perform the Givaudan. In addition to that, Ferrexpo PLC is 2.94 times more volatile than Givaudan SA. It trades about -0.01 of its total potential returns per unit of risk. Givaudan SA is currently generating about 0.04 per unit of volatility. If you would invest  319,106  in Givaudan SA on August 14, 2024 and sell it today you would earn a total of  73,594  from holding Givaudan SA or generate 23.06% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	99.4%
Values	Daily Returns

Ferrexpo PLC  vs.  Givaudan SA

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. In spite of comparatively uncertain basic indicators, Ferrexpo PLC unveiled solid returns over the last few months and may actually be approaching a breakup point.

Givaudan SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Givaudan SA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Givaudan is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Ferrexpo PLC and Givaudan

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

The idea behind Ferrexpo PLC and Givaudan 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.

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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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.