Correlation Between Mapfre and ArcelorMittal
Can any of the company-specific risk be diversified away by investing in both Mapfre 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 Mapfre and ArcelorMittal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mapfre and ArcelorMittal SA, you can compare the effects of market volatilities on Mapfre 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 Mapfre with a short position of ArcelorMittal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mapfre and ArcelorMittal.
Diversification Opportunities for Mapfre and ArcelorMittal
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Mapfre and ArcelorMittal is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Mapfre and ArcelorMittal SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ArcelorMittal SA and Mapfre 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 Mapfre 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 Mapfre i.e., Mapfre and ArcelorMittal go up and down completely randomly.
Pair Corralation between Mapfre and ArcelorMittal
Assuming the 90 days trading horizon Mapfre is expected to generate 5.29 times less return on investment than ArcelorMittal. But when comparing it to its historical volatility, Mapfre is 1.44 times less risky than ArcelorMittal. It trades about 0.03 of its potential returns per unit of risk. ArcelorMittal SA is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 2,274 in ArcelorMittal SA on August 28, 2024 and sell it today you would earn a total of 116.00 from holding ArcelorMittal SA or generate 5.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Mapfre vs. ArcelorMittal SA
Performance |
| Timeline |
| Mapfre |
| ArcelorMittal SA |
Mapfre and ArcelorMittal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mapfre and ArcelorMittal
The main advantage of trading using opposite Mapfre and ArcelorMittal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mapfre 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.| Mapfre vs. Azaria Rental SOCIMI | Mapfre vs. Tier1 Technology SA | Mapfre vs. Cellnex Telecom SA | Mapfre vs. Atrys Health SL |
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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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
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