Correlation Between Pengana Private and JB Hi

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

By analyzing existing cross correlation between Pengana Private Equity and JB Hi Fi, you can compare the effects of market volatilities on Pengana Private and JB Hi 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 Pengana Private with a short position of JB Hi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pengana Private and JB Hi.

Diversification Opportunities for Pengana Private and JB Hi

-0.73

Correlation Coefficient

Pengana Private  JB Hi

Pay attention - limited upside

The 3 months correlation between Pengana and JBH is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding Pengana Private Equity and JB Hi Fi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JB Hi Fi and Pengana Private 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 Pengana Private Equity are associated (or correlated) with JB Hi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JB Hi Fi has no effect on the direction of Pengana Private i.e., Pengana Private and JB Hi go up and down completely randomly.

Pair Corralation between Pengana Private and JB Hi

Assuming the 90 days trading horizon Pengana Private Equity is expected to under-perform the JB Hi. In addition to that, Pengana Private is 1.15 times more volatile than JB Hi Fi. It trades about -0.01 of its total potential returns per unit of risk. JB Hi Fi is currently generating about 0.15 per unit of volatility. If you would invest  8,057  in JB Hi Fi on September 5, 2024 and sell it today you would earn a total of  1,223  from holding JB Hi Fi or generate 15.18% return on investment over 90 days.

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

Pengana Private Equity  vs.  JB Hi Fi

Pengana Private Equity

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Pengana Private Equity has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Pengana Private is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

JB Hi Fi

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in JB Hi Fi are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain technical indicators, JB Hi unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Pengana Private and JB Hi

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

The idea behind Pengana Private Equity and JB Hi Fi 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.

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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.