Correlation Between DAX Index and Imperial Brands
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By analyzing existing cross correlation between DAX Index and Imperial Brands PLC, you can compare the effects of market volatilities on DAX Index and Imperial Brands 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 DAX Index with a short position of Imperial Brands. Check out your portfolio center. Please also check ongoing floating volatility patterns of DAX Index and Imperial Brands.
Diversification Opportunities for DAX Index and Imperial Brands
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between DAX and Imperial is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding DAX Index and Imperial Brands PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Imperial Brands PLC and DAX Index 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 DAX Index are associated (or correlated) with Imperial Brands. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Imperial Brands PLC has no effect on the direction of DAX Index i.e., DAX Index and Imperial Brands go up and down completely randomly.
Pair Corralation between DAX Index and Imperial Brands
Assuming the 90 days trading horizon DAX Index is expected to generate 2.45 times less return on investment than Imperial Brands. But when comparing it to its historical volatility, DAX Index is 1.56 times less risky than Imperial Brands. It trades about 0.1 of its potential returns per unit of risk. Imperial Brands PLC is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 2,001 in Imperial Brands PLC on September 4, 2024 and sell it today you would earn a total of 1,074 from holding Imperial Brands PLC or generate 53.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
DAX Index vs. Imperial Brands PLC
Performance |
| Timeline |
DAX Index and Imperial Brands Volatility Contrast
Predicted Return Density |
| Returns |
DAX Index
Pair trading matchups for DAX Index
Imperial Brands PLC
Pair trading matchups for Imperial Brands
Pair Trading with DAX Index and Imperial Brands
The main advantage of trading using opposite DAX Index and Imperial Brands positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DAX Index position performs unexpectedly, Imperial Brands 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 Imperial Brands will offset losses from the drop in Imperial Brands' long position.| DAX Index vs. LION ONE METALS | DAX Index vs. KENNAMETAL INC | DAX Index vs. HYATT HOTELS A | DAX Index vs. Zijin Mining Group |
| Imperial Brands vs. YATRA ONLINE DL 0001 | Imperial Brands vs. PACIFIC ONLINE | Imperial Brands vs. Mobilezone Holding AG | Imperial Brands vs. MUTUIONLINE |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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