Correlation Between ArcelorMittal and American Express
Can any of the company-specific risk be diversified away by investing in both ArcelorMittal and American Express 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 American Express into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ArcelorMittal SA ADR and American Express, you can compare the effects of market volatilities on ArcelorMittal and American Express 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 American Express. Check out your portfolio center. Please also check ongoing floating volatility patterns of ArcelorMittal and American Express.
Diversification Opportunities for ArcelorMittal and American Express
-0.03 | Correlation Coefficient |
Good diversification
The 3 months correlation between ArcelorMittal and American is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding ArcelorMittal SA ADR and American Express in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on American Express 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 American Express. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of American Express has no effect on the direction of ArcelorMittal i.e., ArcelorMittal and American Express go up and down completely randomly.
Pair Corralation between ArcelorMittal and American Express
Allowing for the 90-day total investment horizon ArcelorMittal SA ADR is expected to under-perform the American Express. In addition to that, ArcelorMittal is 1.59 times more volatile than American Express. It trades about -0.09 of its total potential returns per unit of risk. American Express is currently generating about -0.05 per unit of volatility. If you would invest 22,101 in American Express on January 19, 2024 and sell it today you would lose (334.00) from holding American Express or give up 1.51% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
ArcelorMittal SA ADR vs. American Express
Performance |
Timeline |
ArcelorMittal SA ADR |
American Express |
ArcelorMittal and American Express Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ArcelorMittal and American Express
The main advantage of trading using opposite ArcelorMittal and American Express positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ArcelorMittal position performs unexpectedly, American Express 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 American Express will offset losses from the drop in American Express' long position.ArcelorMittal vs. Cleveland Cliffs | ArcelorMittal vs. Reliance Steel Aluminum | ArcelorMittal vs. Ternium SA ADR |
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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