Correlation Between Capri Holdings and Anglo American
Can any of the company-specific risk be diversified away by investing in both Capri Holdings and Anglo American 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 Capri Holdings and Anglo American into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Capri Holdings and Anglo American plc, you can compare the effects of market volatilities on Capri Holdings and Anglo American 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 Capri Holdings with a short position of Anglo American. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and Anglo American.
Diversification Opportunities for Capri Holdings and Anglo American
-0.19 | Correlation Coefficient |
Good diversification
The 3 months correlation between Capri and Anglo is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings and Anglo American plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Anglo American plc and Capri Holdings 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 Capri Holdings are associated (or correlated) with Anglo American. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Anglo American plc has no effect on the direction of Capri Holdings i.e., Capri Holdings and Anglo American go up and down completely randomly.
Pair Corralation between Capri Holdings and Anglo American
Given the investment horizon of 90 days Capri Holdings is expected to under-perform the Anglo American. In addition to that, Capri Holdings is 1.8 times more volatile than Anglo American plc. It trades about -0.03 of its total potential returns per unit of risk. Anglo American plc is currently generating about 0.0 per unit of volatility. If you would invest 3,121 in Anglo American plc on September 1, 2024 and sell it today you would lose (116.00) from holding Anglo American plc or give up 3.72% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.41% |
| Values | Daily Returns |
Capri Holdings vs. Anglo American plc
Performance |
| Timeline |
| Capri Holdings |
| Anglo American plc |
Capri Holdings and Anglo American Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Capri Holdings and Anglo American
The main advantage of trading using opposite Capri Holdings and Anglo American positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capri Holdings position performs unexpectedly, Anglo American 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 Anglo American will offset losses from the drop in Anglo American's long position.| Capri Holdings vs. Movado Group | Capri Holdings vs. Signet Jewelers | Capri Holdings vs. Lanvin Group Holdings | Capri Holdings vs. TheRealReal |
| Anglo American vs. Glencore PLC ADR | Anglo American vs. Fortescue Metals Group | Anglo American vs. South32 Limited | Anglo American vs. South32 ADR |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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