Correlation Between AUST AGRICULTURAL and Glencore Plc

Can any of the company-specific risk be diversified away by investing in both AUST AGRICULTURAL 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 AUST AGRICULTURAL and Glencore Plc into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between AUST AGRICULTURAL and Glencore plc, you can compare the effects of market volatilities on AUST AGRICULTURAL 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 AUST AGRICULTURAL with a short position of Glencore Plc. Check out your portfolio center. Please also check ongoing floating volatility patterns of AUST AGRICULTURAL and Glencore Plc.

Diversification Opportunities for AUST AGRICULTURAL and Glencore Plc

0.67

Correlation Coefficient

AUST AGRICULTURAL  Glencore Plc

Poor diversification

The 3 months correlation between AUST and Glencore is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding AUST AGRICULTURAL and Glencore plc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glencore plc and AUST AGRICULTURAL 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 AUST AGRICULTURAL 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 AUST AGRICULTURAL i.e., AUST AGRICULTURAL and Glencore Plc go up and down completely randomly.

Pair Corralation between AUST AGRICULTURAL and Glencore Plc

Assuming the 90 days trading horizon AUST AGRICULTURAL is expected to generate 3.57 times less return on investment than Glencore Plc. But when comparing it to its historical volatility, AUST AGRICULTURAL is 1.89 times less risky than Glencore Plc. It trades about 0.01 of its potential returns per unit of risk. Glencore plc is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  890.00  in Glencore plc on September 5, 2024 and sell it today you would earn a total of  0.00  from holding Glencore plc or generate 0.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.46%
Values	Daily Returns

AUST AGRICULTURAL  vs.  Glencore plc

AUST AGRICULTURAL

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days AUST AGRICULTURAL has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, AUST AGRICULTURAL is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Glencore plc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Glencore plc has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable fundamental indicators, Glencore Plc is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with AUST AGRICULTURAL and Glencore Plc

The main advantage of trading using opposite AUST AGRICULTURAL and Glencore Plc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AUST AGRICULTURAL 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.

The idea behind AUST AGRICULTURAL and Glencore plc pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.