Correlation Between Savencia and Stef SA

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

By analyzing existing cross correlation between Savencia SA and Stef SA, you can compare the effects of market volatilities on Savencia and Stef 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 Savencia with a short position of Stef SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Savencia and Stef SA.

Diversification Opportunities for Savencia and Stef SA

-0.33

Correlation Coefficient

Savencia  Stef SA

Very good diversification

The 3 months correlation between Savencia and Stef is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Savencia SA and Stef SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stef SA and Savencia 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 Savencia SA are associated (or correlated) with Stef SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stef SA has no effect on the direction of Savencia i.e., Savencia and Stef SA go up and down completely randomly.

Pair Corralation between Savencia and Stef SA

Assuming the 90 days trading horizon Savencia SA is expected to generate 0.91 times more return on investment than Stef SA. However, Savencia SA is 1.1 times less risky than Stef SA. It trades about 0.07 of its potential returns per unit of risk. Stef SA is currently generating about -0.03 per unit of risk. If you would invest  5,000  in Savencia SA on September 10, 2024 and sell it today you would earn a total of  280.00  from holding Savencia SA or generate 5.6% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Savencia SA  vs.  Stef SA

Savencia SA

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Savencia SA are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Savencia is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Stef SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Stef SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong technical and fundamental indicators, Stef SA is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Savencia and Stef SA

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

The idea behind Savencia SA and Stef 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.