Correlation Between SIGNA Sports and Joann

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

By analyzing existing cross correlation between SIGNA Sports United and Joann Inc, you can compare the effects of market volatilities on SIGNA Sports and Joann 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 SIGNA Sports with a short position of Joann. Check out your portfolio center. Please also check ongoing floating volatility patterns of SIGNA Sports and Joann.

Diversification Opportunities for SIGNA Sports and Joann

0.61

Correlation Coefficient

SIGNA Sports  Joann

Poor diversification

The 3 months correlation between SIGNA and Joann is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding SIGNA Sports United and Joann Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Joann Inc and SIGNA 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 SIGNA Sports United are associated (or correlated) with Joann. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Joann Inc has no effect on the direction of SIGNA Sports i.e., SIGNA Sports and Joann go up and down completely randomly.

Pair Corralation between SIGNA Sports and Joann

Considering the 90-day investment horizon SIGNA Sports United is expected to generate 0.91 times more return on investment than Joann. However, SIGNA Sports United is 1.1 times less risky than Joann. It trades about -0.05 of its potential returns per unit of risk. Joann Inc is currently generating about -0.09 per unit of risk. If you would invest  492.00  in SIGNA Sports United on September 25, 2024 and sell it today you would lose (219.00) from holding SIGNA Sports United or give up 44.51% of portfolio value over 90 days.

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

SIGNA Sports United  vs.  Joann Inc

SIGNA Sports United

Risk-Adjusted Performance

0 of 100

Very Weak

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

Joann Inc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Joann Inc has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy basic indicators, Joann is not utilizing all of its potentials. The newest stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with SIGNA Sports and Joann

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

The idea behind SIGNA Sports United and Joann Inc 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.