Correlation Between ArcelorMittal and PHILIP
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By analyzing existing cross correlation between ArcelorMittal SA ADR and PHILIP MORRIS INTL, you can compare the effects of market volatilities on ArcelorMittal and PHILIP 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 ArcelorMittal with a short position of PHILIP. Check out your portfolio center. Please also check ongoing floating volatility patterns of ArcelorMittal and PHILIP.
Diversification Opportunities for ArcelorMittal and PHILIP
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between ArcelorMittal and PHILIP is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding ArcelorMittal SA ADR and PHILIP MORRIS INTL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PHILIP MORRIS INTL and ArcelorMittal 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 ArcelorMittal SA ADR are associated (or correlated) with PHILIP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PHILIP MORRIS INTL has no effect on the direction of ArcelorMittal i.e., ArcelorMittal and PHILIP go up and down completely randomly.
Pair Corralation between ArcelorMittal and PHILIP
Allowing for the 90-day total investment horizon ArcelorMittal SA ADR is expected to generate 6.52 times more return on investment than PHILIP. However, ArcelorMittal is 6.52 times more volatile than PHILIP MORRIS INTL. It trades about 0.01 of its potential returns per unit of risk. PHILIP MORRIS INTL is currently generating about 0.0 per unit of risk. If you would invest 2,568 in ArcelorMittal SA ADR on September 13, 2024 and sell it today you would lose (24.50) from holding ArcelorMittal SA ADR or give up 0.95% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 97.58% |
| Values | Daily Returns |
ArcelorMittal SA ADR vs. PHILIP MORRIS INTL
Performance |
| Timeline |
| ArcelorMittal SA ADR |
| PHILIP MORRIS INTL |
ArcelorMittal and PHILIP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ArcelorMittal and PHILIP
The main advantage of trading using opposite ArcelorMittal and PHILIP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ArcelorMittal position performs unexpectedly, PHILIP 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 PHILIP will offset losses from the drop in PHILIP's long position.| ArcelorMittal vs. Fortitude Gold Corp | ArcelorMittal vs. New Gold | ArcelorMittal vs. Galiano Gold | ArcelorMittal vs. GoldMining |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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