Correlation Between JD Sports and Anglo American
Can any of the company-specific risk be diversified away by investing in both JD Sports and Anglo American 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 JD Sports and Anglo American into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JD Sports Fashion and Anglo American PLC, you can compare the effects of market volatilities on JD Sports and Anglo American 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 JD Sports with a short position of Anglo American. Check out your portfolio center. Please also check ongoing floating volatility patterns of JD Sports and Anglo American.
Diversification Opportunities for JD Sports and Anglo American
-0.24 | Correlation Coefficient |
Very good diversification
The 3 months correlation between JD Sports and Anglo is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding JD Sports Fashion and Anglo American PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Anglo American PLC and JD Sports 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 JD Sports Fashion are associated (or correlated) with Anglo American. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Anglo American PLC has no effect on the direction of JD Sports i.e., JD Sports and Anglo American go up and down completely randomly.
Pair Corralation between JD Sports and Anglo American
Assuming the 90 days trading horizon JD Sports Fashion is expected to under-perform the Anglo American. In addition to that, JD Sports is 1.4 times more volatile than Anglo American PLC. It trades about -0.05 of its total potential returns per unit of risk. Anglo American PLC is currently generating about -0.01 per unit of volatility. If you would invest 250,164 in Anglo American PLC on September 26, 2024 and sell it today you would lose (12,014) from holding Anglo American PLC or give up 4.8% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 99.22% |
Values | Daily Returns |
JD Sports Fashion vs. Anglo American PLC
Performance |
Timeline |
JD Sports Fashion |
Anglo American PLC |
JD Sports and Anglo American Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with JD Sports and Anglo American
The main advantage of trading using opposite JD Sports and Anglo American positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JD Sports position performs unexpectedly, Anglo American 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 Anglo American will offset losses from the drop in Anglo American's long position.JD Sports vs. Young Cos Brewery | JD Sports vs. Tatton Asset Management | JD Sports vs. Games Workshop Group | JD Sports vs. Darden Restaurants |
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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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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