Imperial Brands Correlations

ITB Stock

31.05 0.06 0.19%

The current 90-days correlation between Imperial Brands PLC and Philip Morris International is -0.02 (i.e., Good diversification). The correlation of Imperial Brands is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Imperial Brands Correlation With Market

Good diversification

The correlation between Imperial Brands PLC and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Imperial Brands PLC and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Imperial Brands could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Imperial Brands when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Imperial Brands - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Imperial Brands PLC to buy it.

Moving together with Imperial Stock

0.79	4I1	Philip Morris Intern	Pair Corr
0.79	4I1	Philip Morris Intern	Pair Corr
0.88	BMT	British American Tobacco	Pair Corr
0.87	BMT	British American Tobacco	Pair Corr
0.89	BMTA	British American Tobacco	Pair Corr
0.88	PHM7	Altria Group	Pair Corr
0.99	ITB	Imperial Brands PLC	Pair Corr
0.89	5EE	MEBUKI FINANCIAL	Pair Corr
0.81	4FK	Fukuoka Financial	Pair Corr
0.71	C6TB	CHINA BANK ADR20	Pair Corr
0.62	ICKB	INDCOMMBK CHINA ADR20	Pair Corr
0.93	ATR0	ATHENE HOLDING PRFSERC	Pair Corr
0.78	WD1	WD 40 CO	Pair Corr
0.87	51KB	AVITA Medical	Pair Corr
0.8	117	Arista Networks Split	Pair Corr
0.7	TC7	TIANDE CHEMICAL	Pair Corr
0.87	TL0	Tesla Inc	Pair Corr
0.64	3P7	Pandora A/S	Pair Corr
0.92	MAQ	Marriott International	Pair Corr
0.89	EMR	EMERSON ELECTRIC	Pair Corr
0.78	8KS	LUMI GRUPPEN AS	Pair Corr
0.91	GM0N	GLOBUS MEDICAL A	Pair Corr
0.86	G8L	GREENLIGHT CAP RE	Pair Corr

Moving against Imperial Stock

0.93	PKX	POSCO Holdings	Pair Corr
0.89	LGLG	LG Electronics	Pair Corr
0.78	SSU	Samsung Electronics	Pair Corr
0.56	CHK	China Resources Beer	Pair Corr
0.44	9RV	REVLTNRY CNCPT	Pair Corr
0.56	CKS2	GOME Retail Holdings	Pair Corr

Related Correlations Analysis

	4I1	4I1	BMT	BMT	BMTA	PHM7	JAT	JATA	ITB	ITB
4I1		0.98	0.6	0.59	0.59	0.82	-0.18	-0.12	0.77	0.79	4I1
4I1	0.98		0.6	0.59	0.61	0.83	-0.18	-0.14	0.77	0.79	4I1
BMT	0.6	0.6		1.0	0.98	0.84	0.3	0.33	0.87	0.88	BMT
BMT	0.59	0.59	1.0		0.98	0.84	0.3	0.33	0.87	0.87	BMT
BMTA	0.59	0.61	0.98	0.98		0.83	0.28	0.33	0.89	0.89	BMTA
PHM7	0.82	0.83	0.84	0.84	0.83		0.09	0.11	0.85	0.88	PHM7
JAT	-0.18	-0.18	0.3	0.3	0.28	0.09		0.9	0.12	0.12	JAT
JATA	-0.12	-0.14	0.33	0.33	0.33	0.11	0.9		0.15	0.16	JATA
ITB	0.77	0.77	0.87	0.87	0.89	0.85	0.12	0.15		0.99	ITB
ITB	0.79	0.79	0.88	0.87	0.89	0.88	0.12	0.16	0.99		ITB
	4I1	4I1	BMT	BMT	BMTA	PHM7	JAT	JATA	ITB	ITB

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BMT	+ 1.0	BMT
ITB	+ 0.99	ITB
4I1	+ 0.98	4I1
BMTA	+ 0.98	BMT
BMTA	+ 0.98	BMT
JATA	+ 0.9	JAT

High negative correlations

JAT	- 0.18	4I1
JAT	- 0.18	4I1
JATA	- 0.14	4I1
JATA	- 0.12	4I1

Risk-Adjusted Indicators

There is a big difference between Imperial Stock performing well and Imperial Brands Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Imperial Brands' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
4I1	1.03	0.17	0.11	(0.38)	1.06	(1.12)	1.80	(2.09)	13.29
4I1	0.99	0.19	0.10	(0.33)	1.25	(1.23)	2.44	(1.63)	14.84
BMT	0.73	0.10	0.07	(1.16)	0.87	(0.81)	1.63	(1.66)	4.42
BMT	0.83	0.10	0.08	(15.11)	0.91	(0.91)	1.67	(1.50)	4.11
BMTA	0.92	0.11	0.09	27.99	0.84	(1.16)	1.84	(1.49)	6.00
PHM7	0.84	0.20	0.18	(1.66)	0.68	(0.98)	1.76	(1.53)	10.31
JAT	1.00	(0.03)	0.00	(0.04)	0.00	0.00	2.27	(2.20)	5.59
JATA	0.98	(0.03)	0.00	(0.11)	0.00	0.00	1.67	(2.36)	5.61
ITB	0.96	0.31	0.27	0.65	0.78	(1.15)	2.53	(1.41)	6.40
ITB	0.80	0.31	0.34	(1.59)	0.42	(1.01)	2.31	(1.08)	6.60

Be your own money manager

Our tools can tell you how much better you can do entering a position in Imperial Brands without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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