Correlation Between Naspers and Glencore PLC
Can any of the company-specific risk be diversified away by investing in both Naspers 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 Naspers and Glencore PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Naspers Limited and Glencore PLC, you can compare the effects of market volatilities on Naspers 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 Naspers with a short position of Glencore PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of Naspers and Glencore PLC.
Diversification Opportunities for Naspers and Glencore PLC
0.08 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Naspers and Glencore is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Naspers Limited and Glencore PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Glencore PLC and Naspers 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 Naspers Limited 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 Naspers i.e., Naspers and Glencore PLC go up and down completely randomly.
Pair Corralation between Naspers and Glencore PLC
Assuming the 90 days trading horizon Naspers Limited is expected to generate 1.19 times more return on investment than Glencore PLC. However, Naspers is 1.19 times more volatile than Glencore PLC. It trades about 0.04 of its potential returns per unit of risk. Glencore PLC is currently generating about -0.02 per unit of risk. If you would invest 29,739,900 in Naspers Limited on September 24, 2024 and sell it today you would earn a total of 12,460,100 from holding Naspers Limited or generate 41.9% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Naspers Limited vs. Glencore PLC
Performance |
Timeline |
Naspers Limited |
Glencore PLC |
Naspers and Glencore PLC Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Naspers and Glencore PLC
The main advantage of trading using opposite Naspers and Glencore PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Naspers 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.Naspers vs. Prosus NV | Naspers vs. ABSA Bank Limited | Naspers vs. Dipula Income | Naspers vs. Pepkor Holdings |
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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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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