Correlation Between Jumbo SA and Fourlis Holdings

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

By analyzing existing cross correlation between Jumbo SA and Fourlis Holdings SA, you can compare the effects of market volatilities on Jumbo SA and Fourlis Holdings 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 Jumbo SA with a short position of Fourlis Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jumbo SA and Fourlis Holdings.

Diversification Opportunities for Jumbo SA and Fourlis Holdings

0.22

Correlation Coefficient

Jumbo SA  Fourlis Holdings

Modest diversification

The 3 months correlation between Jumbo and Fourlis is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Jumbo SA and Fourlis Holdings SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fourlis Holdings and Jumbo SA 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 Jumbo SA are associated (or correlated) with Fourlis Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fourlis Holdings has no effect on the direction of Jumbo SA i.e., Jumbo SA and Fourlis Holdings go up and down completely randomly.

Pair Corralation between Jumbo SA and Fourlis Holdings

Assuming the 90 days trading horizon Jumbo SA is expected to generate 0.93 times more return on investment than Fourlis Holdings. However, Jumbo SA is 1.08 times less risky than Fourlis Holdings. It trades about 0.08 of its potential returns per unit of risk. Fourlis Holdings SA is currently generating about -0.05 per unit of risk. If you would invest  2,428  in Jumbo SA on September 15, 2024 and sell it today you would earn a total of  174.00  from holding Jumbo SA or generate 7.17% return on investment over 90 days.

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

Jumbo SA  vs.  Fourlis Holdings SA

Jumbo SA

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Jumbo SA are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Jumbo SA may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Fourlis Holdings

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fourlis Holdings SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Fourlis Holdings is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Jumbo SA and Fourlis Holdings

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

The idea behind Jumbo SA and Fourlis Holdings SA 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.