Correlation Between Philip Morris and Mondelez International
Can any of the company-specific risk be diversified away by investing in both Philip Morris and Mondelez International 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 Philip Morris and Mondelez International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Philip Morris International and Mondelez International, you can compare the effects of market volatilities on Philip Morris and Mondelez International 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 Philip Morris with a short position of Mondelez International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Philip Morris and Mondelez International.
Diversification Opportunities for Philip Morris and Mondelez International
-0.53 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Philip and Mondelez is -0.53. Overlapping area represents the amount of risk that can be diversified away by holding Philip Morris International and Mondelez International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mondelez International and Philip Morris 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 Philip Morris International are associated (or correlated) with Mondelez International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mondelez International has no effect on the direction of Philip Morris i.e., Philip Morris and Mondelez International go up and down completely randomly.
Pair Corralation between Philip Morris and Mondelez International
Allowing for the 90-day total investment horizon Philip Morris International is expected to generate 1.43 times more return on investment than Mondelez International. However, Philip Morris is 1.43 times more volatile than Mondelez International. It trades about 0.0 of its potential returns per unit of risk. Mondelez International is currently generating about -0.27 per unit of risk. If you would invest 13,050 in Philip Morris International on August 27, 2024 and sell it today you would lose (51.00) from holding Philip Morris International or give up 0.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Philip Morris International vs. Mondelez International
Performance |
| Timeline |
| Philip Morris Intern |
| Mondelez International |
Philip Morris and Mondelez International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Philip Morris and Mondelez International
The main advantage of trading using opposite Philip Morris and Mondelez International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Philip Morris position performs unexpectedly, Mondelez International 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 Mondelez International will offset losses from the drop in Mondelez International's long position.| Philip Morris vs. British American Tobacco | Philip Morris vs. Universal | Philip Morris vs. Imperial Brands PLC | Philip Morris vs. Altria Group |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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