Correlation Between IMPERIAL TOBACCO and OSRAM LICHT
Can any of the company-specific risk be diversified away by investing in both IMPERIAL TOBACCO and OSRAM LICHT 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 OSRAM LICHT into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between IMPERIAL TOBACCO and OSRAM LICHT N, you can compare the effects of market volatilities on IMPERIAL TOBACCO and OSRAM LICHT 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 OSRAM LICHT. Check out your portfolio center. Please also check ongoing floating volatility patterns of IMPERIAL TOBACCO and OSRAM LICHT.
Diversification Opportunities for IMPERIAL TOBACCO and OSRAM LICHT
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IMPERIAL and OSRAM is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding IMPERIAL TOBACCO and OSRAM LICHT N in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on OSRAM LICHT N 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 OSRAM LICHT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OSRAM LICHT N has no effect on the direction of IMPERIAL TOBACCO i.e., IMPERIAL TOBACCO and OSRAM LICHT go up and down completely randomly.
Pair Corralation between IMPERIAL TOBACCO and OSRAM LICHT
Assuming the 90 days trading horizon IMPERIAL TOBACCO is expected to generate 3.98 times more return on investment than OSRAM LICHT. However, IMPERIAL TOBACCO is 3.98 times more volatile than OSRAM LICHT N. It trades about 0.28 of its potential returns per unit of risk. OSRAM LICHT N is currently generating about 0.18 per unit of risk. If you would invest 3,131 in IMPERIAL TOBACCO on November 6, 2024 and sell it today you would earn a total of 156.00 from holding IMPERIAL TOBACCO or generate 4.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
IMPERIAL TOBACCO vs. OSRAM LICHT N
Performance |
| Timeline |
| IMPERIAL TOBACCO |
| OSRAM LICHT N |
IMPERIAL TOBACCO and OSRAM LICHT Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IMPERIAL TOBACCO and OSRAM LICHT
The main advantage of trading using opposite IMPERIAL TOBACCO and OSRAM LICHT positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IMPERIAL TOBACCO position performs unexpectedly, OSRAM LICHT 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 OSRAM LICHT will offset losses from the drop in OSRAM LICHT's long position.| IMPERIAL TOBACCO vs. Tradeweb Markets | IMPERIAL TOBACCO vs. MARKET VECTR RETAIL | IMPERIAL TOBACCO vs. CARSALESCOM | IMPERIAL TOBACCO vs. JIAHUA STORES |
| OSRAM LICHT vs. EMBARK EDUCATION LTD | OSRAM LICHT vs. Northern Data AG | OSRAM LICHT vs. Linedata Services SA | OSRAM LICHT vs. Alliance Data Systems |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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