Correlation Between Associated British and John B

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

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

Diversification Opportunities for Associated British and John B

0.61

Correlation Coefficient

Associated British  John B

Poor diversification

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

Pair Corralation between Associated British and John B

Assuming the 90 days horizon Associated British Foods is expected to under-perform the John B. But the pink sheet apears to be less risky and, when comparing its historical volatility, Associated British Foods is 1.93 times less risky than John B. The pink sheet trades about -0.18 of its potential returns per unit of risk. The John B Sanfilippo is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  9,463  in John B Sanfilippo on September 1, 2024 and sell it today you would lose (828.00) from holding John B Sanfilippo or give up 8.75% of portfolio value over 90 days.

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

Associated British Foods  vs.  John B Sanfilippo

Associated British Foods

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Associated British Foods has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's technical and fundamental indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

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.

Pair Trading with Associated British and John B

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

The idea behind Associated British Foods and John B Sanfilippo 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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..