Correlation Between Investec and Glencore PLC
Can any of the company-specific risk be diversified away by investing in both Investec and Glencore 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 Investec and Glencore PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Investec and Glencore PLC, you can compare the effects of market volatilities on Investec and Glencore 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 Investec with a short position of Glencore PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Investec and Glencore PLC.
Diversification Opportunities for Investec and Glencore PLC
-0.48 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Investec and Glencore is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding Investec and Glencore PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glencore PLC and Investec 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 Investec are associated (or correlated) with Glencore PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Glencore PLC has no effect on the direction of Investec i.e., Investec and Glencore PLC go up and down completely randomly.
Pair Corralation between Investec and Glencore PLC
Assuming the 90 days trading horizon Investec is expected to generate 0.68 times more return on investment than Glencore PLC. However, Investec is 1.46 times less risky than Glencore PLC. It trades about -0.05 of its potential returns per unit of risk. Glencore PLC is currently generating about -0.14 per unit of risk. If you would invest 1,385,000 in Investec on August 27, 2024 and sell it today you would lose (22,300) from holding Investec or give up 1.61% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Investec vs. Glencore PLC
Performance |
| Timeline |
| Investec |
| Glencore PLC |
Investec and Glencore PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Investec and Glencore PLC
The main advantage of trading using opposite Investec and Glencore PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Investec position performs unexpectedly, Glencore 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 Glencore PLC will offset losses from the drop in Glencore PLC's long position.| Investec vs. Capitec Bank Holdings | Investec vs. Capitec Bank Holdings | Investec vs. Nedbank Group | Investec vs. RMB Holdings |
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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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