Correlation Between Freeport McMoran and Absolute Convertible
Can any of the company-specific risk be diversified away by investing in both Freeport McMoran and Absolute Convertible 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 Freeport McMoran and Absolute Convertible into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Freeport McMoran Copper Gold and Absolute Convertible Arbitrage, you can compare the effects of market volatilities on Freeport McMoran and Absolute Convertible 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 Freeport McMoran with a short position of Absolute Convertible. Check out your portfolio center. Please also check ongoing floating volatility patterns of Freeport McMoran and Absolute Convertible.
Diversification Opportunities for Freeport McMoran and Absolute Convertible
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Freeport and Absolute is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Freeport McMoran Copper Gold and Absolute Convertible Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absolute Convertible and Freeport McMoran 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 Freeport McMoran Copper Gold are associated (or correlated) with Absolute Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absolute Convertible has no effect on the direction of Freeport McMoran i.e., Freeport McMoran and Absolute Convertible go up and down completely randomly.
Pair Corralation between Freeport McMoran and Absolute Convertible
Considering the 90-day investment horizon Freeport McMoran Copper Gold is expected to under-perform the Absolute Convertible. In addition to that, Freeport McMoran is 38.52 times more volatile than Absolute Convertible Arbitrage. It trades about -0.02 of its total potential returns per unit of risk. Absolute Convertible Arbitrage is currently generating about 0.4 per unit of volatility. If you would invest 1,118 in Absolute Convertible Arbitrage on March 7, 2024 and sell it today you would earn a total of 6.00 from holding Absolute Convertible Arbitrage or generate 0.54% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 95.45% |
Values | Daily Returns |
Freeport McMoran Copper Gold vs. Absolute Convertible Arbitrage
Performance |
Timeline |
Freeport McMoran Copper |
Absolute Convertible |
Freeport McMoran and Absolute Convertible Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Freeport McMoran and Absolute Convertible
The main advantage of trading using opposite Freeport McMoran and Absolute Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Freeport McMoran position performs unexpectedly, Absolute Convertible 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 Absolute Convertible will offset losses from the drop in Absolute Convertible's long position.Freeport McMoran vs. Ero Copper Corp | Freeport McMoran vs. Taseko Mines | Freeport McMoran vs. Metals Acquisition Limited | Freeport McMoran vs. enCore Energy Corp |
Absolute Convertible vs. Calamos Market Neutral | Absolute Convertible vs. Calamos Market Neutral | Absolute Convertible vs. Calamos Market Neutral | Absolute Convertible vs. Calamos Market Neutral |
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 CEOs Directory module to screen CEOs from public companies around the world.
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