Correlation Between Acerinox and ArcelorMittal
Can any of the company-specific risk be diversified away by investing in both Acerinox and ArcelorMittal 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 Acerinox and ArcelorMittal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Acerinox SA ADR and ArcelorMittal SA, you can compare the effects of market volatilities on Acerinox and ArcelorMittal 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 Acerinox with a short position of ArcelorMittal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Acerinox and ArcelorMittal.
Diversification Opportunities for Acerinox and ArcelorMittal
-0.39 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Acerinox and ArcelorMittal is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding Acerinox SA ADR and ArcelorMittal SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ArcelorMittal SA and Acerinox 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 Acerinox SA ADR are associated (or correlated) with ArcelorMittal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ArcelorMittal SA has no effect on the direction of Acerinox i.e., Acerinox and ArcelorMittal go up and down completely randomly.
Pair Corralation between Acerinox and ArcelorMittal
Assuming the 90 days horizon Acerinox SA ADR is expected to under-perform the ArcelorMittal. But the pink sheet apears to be less risky and, when comparing its historical volatility, Acerinox SA ADR is 1.21 times less risky than ArcelorMittal. The pink sheet trades about -0.1 of its potential returns per unit of risk. The ArcelorMittal SA is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 2,260 in ArcelorMittal SA on August 24, 2024 and sell it today you would earn a total of 250.00 from holding ArcelorMittal SA or generate 11.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 68.18% |
| Values | Daily Returns |
Acerinox SA ADR vs. ArcelorMittal SA
Performance |
| Timeline |
| Acerinox SA ADR |
| ArcelorMittal SA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Good
Acerinox and ArcelorMittal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Acerinox and ArcelorMittal
The main advantage of trading using opposite Acerinox and ArcelorMittal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Acerinox position performs unexpectedly, ArcelorMittal 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 ArcelorMittal will offset losses from the drop in ArcelorMittal's long position.| Acerinox vs. ArcelorMittal SA ADR | Acerinox vs. Gerdau SA ADR | Acerinox vs. POSCO Holdings | Acerinox vs. HUMANA INC |
| ArcelorMittal vs. ArcelorMittal SA ADR | ArcelorMittal vs. Gerdau SA ADR | ArcelorMittal vs. POSCO Holdings | ArcelorMittal vs. HUMANA INC |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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