Correlation Between Anadolu Efes and JSE

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

By analyzing existing cross correlation between Anadolu Efes Biracilik and JSE Limited, you can compare the effects of market volatilities on Anadolu Efes and JSE 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 Anadolu Efes with a short position of JSE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Anadolu Efes and JSE.

Diversification Opportunities for Anadolu Efes and JSE

0.1

Correlation Coefficient

Anadolu Efes  JSE

Average diversification

The 3 months correlation between Anadolu and JSE is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Anadolu Efes Biracilik and JSE Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JSE Limited and Anadolu Efes 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 Anadolu Efes Biracilik are associated (or correlated) with JSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JSE Limited has no effect on the direction of Anadolu Efes i.e., Anadolu Efes and JSE go up and down completely randomly.

Pair Corralation between Anadolu Efes and JSE

Assuming the 90 days horizon Anadolu Efes is expected to generate 1.53 times less return on investment than JSE. In addition to that, Anadolu Efes is 1.07 times more volatile than JSE Limited. It trades about 0.07 of its total potential returns per unit of risk. JSE Limited is currently generating about 0.11 per unit of volatility. If you would invest  550.00  in JSE Limited on September 26, 2024 and sell it today you would earn a total of  115.00  from holding JSE Limited or generate 20.91% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Anadolu Efes Biracilik  vs.  JSE Limited

Anadolu Efes Biracilik

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Anadolu Efes Biracilik are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of fairly fragile basic indicators, Anadolu Efes showed solid returns over the last few months and may actually be approaching a breakup point.

JSE Limited

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in JSE Limited are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak forward-looking indicators, JSE reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Anadolu Efes and JSE

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

The idea behind Anadolu Efes Biracilik and JSE Limited 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.