Correlation Between IMPERIAL TOBACCO and Glencore Plc
Can any of the company-specific risk be diversified away by investing in both IMPERIAL TOBACCO 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 IMPERIAL TOBACCO and Glencore Plc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between IMPERIAL TOBACCO and Glencore plc, you can compare the effects of market volatilities on IMPERIAL TOBACCO 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 IMPERIAL TOBACCO with a short position of Glencore Plc. Check out your portfolio center. Please also check ongoing floating volatility patterns of IMPERIAL TOBACCO and Glencore Plc.
Diversification Opportunities for IMPERIAL TOBACCO and Glencore Plc
-0.71 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between IMPERIAL and Glencore is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding IMPERIAL TOBACCO and Glencore plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glencore plc and IMPERIAL TOBACCO 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 TOBACCO 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 IMPERIAL TOBACCO i.e., IMPERIAL TOBACCO and Glencore Plc go up and down completely randomly.
Pair Corralation between IMPERIAL TOBACCO and Glencore Plc
Assuming the 90 days trading horizon IMPERIAL TOBACCO is expected to generate 0.33 times more return on investment than Glencore Plc. However, IMPERIAL TOBACCO is 3.04 times less risky than Glencore Plc. It trades about 0.2 of its potential returns per unit of risk. Glencore plc is currently generating about -0.12 per unit of risk. If you would invest 3,131 in IMPERIAL TOBACCO on November 7, 2024 and sell it today you would earn a total of 100.00 from holding IMPERIAL TOBACCO or generate 3.19% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 91.3% |
| Values | Daily Returns |
IMPERIAL TOBACCO vs. Glencore plc
Performance |
| Timeline |
| IMPERIAL TOBACCO |
| Glencore plc |
IMPERIAL TOBACCO and Glencore Plc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IMPERIAL TOBACCO and Glencore Plc
The main advantage of trading using opposite IMPERIAL TOBACCO and Glencore Plc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IMPERIAL TOBACCO 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.| IMPERIAL TOBACCO vs. TITANIUM TRANSPORTGROUP | IMPERIAL TOBACCO vs. Air Transport Services | IMPERIAL TOBACCO vs. SMA Solar Technology | IMPERIAL TOBACCO vs. Gaztransport Technigaz SA |
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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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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