JAMES HARDIE Correlations

JHA0 Stock

EUR 31.40 0.20 0.63%

The current 90-days correlation between JAMES HARDIE INDUSTADR1 and Heidelberg Materials AG is -0.06 (i.e., Good diversification). The correlation of JAMES HARDIE 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.

JAMES HARDIE Correlation With Market

Significant diversification

The correlation between JAMES HARDIE INDUSTADR1 and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JAMES HARDIE INDUSTADR1 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to JAMES HARDIE could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace JAMES HARDIE 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 JAMES HARDIE - 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 JAMES HARDIE INDUSTADR1 to buy it.

Moving against JAMES Stock

0.78	MMX	Martin Marietta Materials	Pair Corr
0.74	VMC	Vulcan Materials	Pair Corr
0.71	BRYN	Berkshire Hathaway	Pair Corr
0.7	BRYN	Berkshire Hathaway	Pair Corr
0.63	KBIA	KB Financial Group	Pair Corr
0.56	HEI	Heidelberg Materials	Pair Corr
0.52	HEI	Heidelberg Materials	Pair Corr
0.49	GOB	Compagnie de Saint	Pair Corr

Related Correlations Analysis

	HEI	8SP	6NM	2DG	TM9	6HW	NOH1	INL	RS6
HEI		-0.69	-0.17	-0.89	-0.68	-0.29	0.29	0.26	0.88	HEI
8SP	-0.69		0.54	0.68	0.55	0.44	-0.36	-0.54	-0.7	8SP
6NM	-0.17	0.54		0.12	0.06	-0.11	-0.02	-0.27	-0.04	6NM
2DG	-0.89	0.68	0.12		0.62	0.48	-0.42	-0.35	-0.88	2DG
TM9	-0.68	0.55	0.06	0.62		0.12	-0.04	-0.05	-0.6	TM9
6HW	-0.29	0.44	-0.11	0.48	0.12		-0.59	-0.63	-0.54	6HW
NOH1	0.29	-0.36	-0.02	-0.42	-0.04	-0.59		0.49	0.51	NOH1
INL	0.26	-0.54	-0.27	-0.35	-0.05	-0.63	0.49		0.51	INL
RS6	0.88	-0.7	-0.04	-0.88	-0.6	-0.54	0.51	0.51		RS6
	HEI	8SP	6NM	2DG	TM9	6HW	NOH1	INL	RS6

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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

RS6	+ 0.88	HEI
2DG	+ 0.68	8SP
TM9	+ 0.62	2DG
TM9	+ 0.55	8SP
6NM	+ 0.54	8SP
RS6	+ 0.51	NOH1

High negative correlations

2DG	- 0.89	HEI
RS6	- 0.88	2DG
RS6	- 0.7	8SP
8SP	- 0.69	HEI
TM9	- 0.68	HEI
INL	- 0.63	6HW

Risk-Adjusted Indicators

There is a big difference between JAMES Stock performing well and JAMES HARDIE 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 JAMES HARDIE's 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
HEI	1.21	0.38	0.34	0.52	0.68	(1.48)	3.29	(1.57)	8.93
8SP	2.12	(0.25)	0.00	(1.88)	0.00	0.00	3.36	(4.50)	20.22
6NM	1.25	(0.06)	0.00	(0.08)	0.00	0.00	2.89	(2.76)	9.64
2DG	5.38	(0.31)	0.00	(0.17)	0.00	0.00	13.64	(10.00)	52.42
TM9	2.25	(0.14)	0.00	0.44	0.00	0.00	5.06	(4.30)	24.09
6HW	0.37	(0.05)	0.00	(0.18)	0.00	0.00	1.23	(1.41)	3.41
NOH1	1.94	0.08	0.03	0.14	1.88	(2.77)	6.61	(3.25)	13.10
INL	2.37	0.06	0.02	0.12	2.74	(2.87)	7.04	(5.34)	16.28
RS6	1.38	0.14	0.09	0.46	1.37	(1.58)	2.94	(2.17)	15.24

Be your own money manager

Our tools can tell you how much better you can do entering a position in JAMES HARDIE 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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