Correlation Between John B and Danone SA

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

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

Diversification Opportunities for John B and Danone SA

0.42

Correlation Coefficient

John B  Danone SA

Very weak diversification

The 3 months correlation between John and Danone is 0.42. Overlapping area represents the amount of risk that can be diversified away by holding John B Sanfilippo and Danone SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Danone SA and John B 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 John B Sanfilippo are associated (or correlated) with Danone SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Danone SA has no effect on the direction of John B i.e., John B and Danone SA go up and down completely randomly.

Pair Corralation between John B and Danone SA

Given the investment horizon of 90 days John B Sanfilippo is expected to under-perform the Danone SA. In addition to that, John B is 1.84 times more volatile than Danone SA. It trades about -0.07 of its total potential returns per unit of risk. Danone SA is currently generating about -0.05 per unit of volatility. If you would invest  7,143  in Danone SA on September 19, 2024 and sell it today you would lose (258.00) from holding Danone SA or give up 3.61% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	98.44%
Values	Daily Returns

John B Sanfilippo  vs.  Danone SA

John B Sanfilippo

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days John B Sanfilippo has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest unsteady performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Danone SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Danone SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Danone SA is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with John B and Danone SA

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

The idea behind John B Sanfilippo and Danone 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.