Correlation Between ArcelorMittal and Sacyr SA
Can any of the company-specific risk be diversified away by investing in both ArcelorMittal and Sacyr 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 ArcelorMittal and Sacyr SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ArcelorMittal SA and Sacyr SA, you can compare the effects of market volatilities on ArcelorMittal and Sacyr 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 ArcelorMittal with a short position of Sacyr SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of ArcelorMittal and Sacyr SA.
Diversification Opportunities for ArcelorMittal and Sacyr SA
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ArcelorMittal and Sacyr is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding ArcelorMittal SA and Sacyr SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sacyr SA 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 are associated (or correlated) with Sacyr SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sacyr SA has no effect on the direction of ArcelorMittal i.e., ArcelorMittal and Sacyr SA go up and down completely randomly.
Pair Corralation between ArcelorMittal and Sacyr SA
Assuming the 90 days trading horizon ArcelorMittal SA is expected to generate 1.6 times more return on investment than Sacyr SA. However, ArcelorMittal is 1.6 times more volatile than Sacyr SA. It trades about 0.03 of its potential returns per unit of risk. Sacyr SA is currently generating about -0.08 per unit of risk. If you would invest 2,274 in ArcelorMittal SA on August 29, 2024 and sell it today you would earn a total of 25.00 from holding ArcelorMittal SA or generate 1.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ArcelorMittal SA vs. Sacyr SA
Performance |
| Timeline |
| ArcelorMittal SA |
| Sacyr SA |
ArcelorMittal and Sacyr SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ArcelorMittal and Sacyr SA
The main advantage of trading using opposite ArcelorMittal and Sacyr SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ArcelorMittal position performs unexpectedly, Sacyr 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 Sacyr SA will offset losses from the drop in Sacyr SA's long position.| ArcelorMittal vs. Acerinox | ArcelorMittal vs. ACS Actividades de | ArcelorMittal vs. International Consolidated Airlines | ArcelorMittal vs. Mapfre |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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