To quantify this, pre- and post- inclusion to the Global X Copper Miners ETF on 01/05/24 (details here), the correlation between WA1 returns and copper futures returns has gone from 0.08 to 0.45 (I use rolling 3-day return in this estimator to reduce the effect of asynchronous hours), meaning copper is now a significant explanatory factor in WA1's returns. As discussed previously, there are real economic linkages between these metals for various reasons, but there is also now a mechanical effect, i.e. sell-off in copper => outflows from COPX => WA1 shares sold. For example, since the beginning of July, COPX's 1.6m share WA1 holding has reduced by ~100k shares due to outflows.
Correspondingly, the beta for WA1 returns against copper returns in the post-inclusion period is ~1.5, i.e. there is an expected 1.5% change in WA1 price for each 1% change in copper price. As the copper price has declined ~9% since peaking on May 20th, incidentally when WA1 peaked, the expected decline in WA1 price attributable to the copper move is ~14%.
Just something to think about..
P.S. Thanks @Naydoe, interesting!
- Forums
- ASX - By Stock
- Broker Data
To quantify this, pre- and post- inclusion to the Global X...
-
- There are more pages in this discussion • 84 more messages in this thread...
You’re viewing a single post only. To view the entire thread just sign in or Join Now (FREE)
Featured News
Add WA1 (ASX) to my watchlist
(20min delay)
|
|||||
Last
$14.97 |
Change
-0.040(0.27%) |
Mkt cap ! $971.0M |
Open | High | Low | Value | Volume |
$15.05 | $15.23 | $14.55 | $3.209M | 216.5K |
Buyers (Bids)
No. | Vol. | Price($) |
---|---|---|
2 | 978 | $14.68 |
Sellers (Offers)
Price($) | Vol. | No. |
---|---|---|
$14.99 | 300 | 2 |
View Market Depth
No. | Vol. | Price($) |
---|---|---|
1 | 50 | 14.630 |
1 | 341 | 14.550 |
1 | 30 | 14.540 |
1 | 27 | 14.510 |
2 | 1000 | 14.500 |
Price($) | Vol. | No. |
---|---|---|
14.990 | 200 | 1 |
15.010 | 600 | 1 |
15.140 | 130 | 1 |
15.160 | 5134 | 1 |
15.330 | 300 | 1 |
Last trade - 16.10pm 27/09/2024 (20 minute delay) ? |
Featured News
WA1 (ASX) Chart |