Correlation Between IMPERIAL TOBACCO and ASGN Incorporated

Can any of the company-specific risk be diversified away by investing in both IMPERIAL TOBACCO and ASGN Incorporated 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 ASGN Incorporated into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between IMPERIAL TOBACCO and ASGN Incorporated, you can compare the effects of market volatilities on IMPERIAL TOBACCO and ASGN Incorporated 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 ASGN Incorporated. Check out your portfolio center. Please also check ongoing floating volatility patterns of IMPERIAL TOBACCO and ASGN Incorporated.

Diversification Opportunities for IMPERIAL TOBACCO and ASGN Incorporated

-0.46

Correlation Coefficient

IMPERIAL TOBACCO  ASGN Incorporated

Very good diversification

The 3 months correlation between IMPERIAL and ASGN is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding IMPERIAL TOBACCO and ASGN Incorporated in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASGN Incorporated 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 ASGN Incorporated. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASGN Incorporated has no effect on the direction of IMPERIAL TOBACCO i.e., IMPERIAL TOBACCO and ASGN Incorporated go up and down completely randomly.

Pair Corralation between IMPERIAL TOBACCO and ASGN Incorporated

Assuming the 90 days trading horizon IMPERIAL TOBACCO is expected to under-perform the ASGN Incorporated. But the stock apears to be less risky and, when comparing its historical volatility, IMPERIAL TOBACCO is 1.87 times less risky than ASGN Incorporated. The stock trades about -0.07 of its potential returns per unit of risk. The ASGN Incorporated is currently generating about 0.42 of returns per unit of risk over similar time horizon. If you would invest  8,000  in ASGN Incorporated on October 24, 2024 and sell it today you would earn a total of  800.00  from holding ASGN Incorporated or generate 10.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	94.44%
Values	Daily Returns

IMPERIAL TOBACCO   vs.  ASGN Incorporated

IMPERIAL TOBACCO

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in IMPERIAL TOBACCO are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively fragile fundamental drivers, IMPERIAL TOBACCO unveiled solid returns over the last few months and may actually be approaching a breakup point.

ASGN Incorporated

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in ASGN Incorporated are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, ASGN Incorporated is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with IMPERIAL TOBACCO and ASGN Incorporated

The main advantage of trading using opposite IMPERIAL TOBACCO and ASGN Incorporated positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IMPERIAL TOBACCO position performs unexpectedly, ASGN Incorporated 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 ASGN Incorporated will offset losses from the drop in ASGN Incorporated's long position.

The idea behind IMPERIAL TOBACCO and ASGN Incorporated 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.