Correlation Between GAMCO Global and ArcelorMittal

Can any of the company-specific risk be diversified away by investing in both GAMCO Global 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 GAMCO Global and ArcelorMittal into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between GAMCO Global Gold and ArcelorMittal SA ADR, you can compare the effects of market volatilities on GAMCO Global 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 GAMCO Global with a short position of ArcelorMittal. Check out your portfolio center. Please also check ongoing floating volatility patterns of GAMCO Global and ArcelorMittal.

Diversification Opportunities for GAMCO Global and ArcelorMittal

-0.39

Correlation Coefficient

GAMCO Global  ArcelorMittal

Very good diversification

The 3 months correlation between GAMCO and ArcelorMittal is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding GAMCO Global Gold and ArcelorMittal SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ArcelorMittal SA ADR and GAMCO Global 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 GAMCO Global Gold 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 ADR has no effect on the direction of GAMCO Global i.e., GAMCO Global and ArcelorMittal go up and down completely randomly.

Pair Corralation between GAMCO Global and ArcelorMittal

Assuming the 90 days trading horizon GAMCO Global Gold is expected to under-perform the ArcelorMittal. But the preferred stock apears to be less risky and, when comparing its historical volatility, GAMCO Global Gold is 1.76 times less risky than ArcelorMittal. The preferred stock trades about -0.2 of its potential returns per unit of risk. The ArcelorMittal SA ADR is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest  2,556  in ArcelorMittal SA ADR on September 19, 2024 and sell it today you would lose (103.00) from holding ArcelorMittal SA ADR or give up 4.03% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

GAMCO Global Gold  vs.  ArcelorMittal SA ADR

GAMCO Global Gold

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days GAMCO Global Gold has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest inconsistent performance, the Preferred Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

ArcelorMittal SA ADR

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in ArcelorMittal SA ADR are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, ArcelorMittal is not utilizing all of its potentials. The recent stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with GAMCO Global and ArcelorMittal

The main advantage of trading using opposite GAMCO Global and ArcelorMittal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GAMCO Global 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.

The idea behind GAMCO Global Gold and ArcelorMittal SA ADR pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.