Correlation Between Glencore PLC and Eramet SA
Can any of the company-specific risk be diversified away by investing in both Glencore PLC and Eramet SA 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 Glencore PLC and Eramet SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Glencore PLC and Eramet SA ADR, you can compare the effects of market volatilities on Glencore PLC and Eramet SA 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 Glencore PLC with a short position of Eramet SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Glencore PLC and Eramet SA.
Diversification Opportunities for Glencore PLC and Eramet SA
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Glencore and Eramet is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Glencore PLC and Eramet SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eramet SA ADR and Glencore PLC 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 Glencore PLC are associated (or correlated) with Eramet SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eramet SA ADR has no effect on the direction of Glencore PLC i.e., Glencore PLC and Eramet SA go up and down completely randomly.
Pair Corralation between Glencore PLC and Eramet SA
Assuming the 90 days horizon Glencore PLC is expected to under-perform the Eramet SA. But the pink sheet apears to be less risky and, when comparing its historical volatility, Glencore PLC is 1.43 times less risky than Eramet SA. The pink sheet trades about -0.16 of its potential returns per unit of risk. The Eramet SA ADR is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest 566.00 in Eramet SA ADR on September 1, 2024 and sell it today you would lose (46.00) from holding Eramet SA ADR or give up 8.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Glencore PLC vs. Eramet SA ADR
Performance |
| Timeline |
| Glencore PLC |
| Eramet SA ADR |
Glencore PLC and Eramet SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Glencore PLC and Eramet SA
The main advantage of trading using opposite Glencore PLC and Eramet SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Glencore PLC position performs unexpectedly, Eramet SA 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 Eramet SA will offset losses from the drop in Eramet SA's long position.| Glencore PLC vs. Anglo American PLC | Glencore PLC vs. Teck Resources Ltd | Glencore PLC vs. BHP Group Limited | Glencore PLC vs. Vale SA ADR |
| Eramet SA vs. IGO Limited | Eramet SA vs. Nickel Mines Limited | Eramet SA vs. IGO Limited | Eramet SA vs. Edison Cobalt Corp |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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