Correlation Between Imperial Brands and AstraZeneca PLC
Can any of the company-specific risk be diversified away by investing in both Imperial Brands and AstraZeneca PLC 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 Imperial Brands and AstraZeneca PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Imperial Brands PLC and AstraZeneca PLC, you can compare the effects of market volatilities on Imperial Brands and AstraZeneca PLC 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 Imperial Brands with a short position of AstraZeneca PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Imperial Brands and AstraZeneca PLC.
Diversification Opportunities for Imperial Brands and AstraZeneca PLC
-0.78 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Imperial and AstraZeneca is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding Imperial Brands PLC and AstraZeneca PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AstraZeneca PLC and Imperial Brands 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 Imperial Brands PLC are associated (or correlated) with AstraZeneca PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AstraZeneca PLC has no effect on the direction of Imperial Brands i.e., Imperial Brands and AstraZeneca PLC go up and down completely randomly.
Pair Corralation between Imperial Brands and AstraZeneca PLC
Assuming the 90 days trading horizon Imperial Brands PLC is expected to generate 0.76 times more return on investment than AstraZeneca PLC. However, Imperial Brands PLC is 1.31 times less risky than AstraZeneca PLC. It trades about 0.06 of its potential returns per unit of risk. AstraZeneca PLC is currently generating about 0.0 per unit of risk. If you would invest 185,773 in Imperial Brands PLC on August 27, 2024 and sell it today you would earn a total of 67,427 from holding Imperial Brands PLC or generate 36.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.6% |
| Values | Daily Returns |
Imperial Brands PLC vs. AstraZeneca PLC
Performance |
| Timeline |
| Imperial Brands PLC |
| AstraZeneca PLC |
Imperial Brands and AstraZeneca PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Imperial Brands and AstraZeneca PLC
The main advantage of trading using opposite Imperial Brands and AstraZeneca PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Imperial Brands position performs unexpectedly, AstraZeneca PLC 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 AstraZeneca PLC will offset losses from the drop in AstraZeneca PLC's long position.| Imperial Brands vs. AMG Advanced Metallurgical | Imperial Brands vs. GreenX Metals | Imperial Brands vs. Empire Metals Limited | Imperial Brands vs. Taiwan Semiconductor Manufacturing |
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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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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