Correlation Between BRF SA and JBS SA
Can any of the company-specific risk be diversified away by investing in both BRF SA and JBS 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 BRF SA and JBS SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BRF SA ADR and JBS SA, you can compare the effects of market volatilities on BRF SA and JBS 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 BRF SA with a short position of JBS SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of BRF SA and JBS SA.
Diversification Opportunities for BRF SA and JBS SA
Average diversification
The 3 months correlation between BRF and JBS is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding BRF SA ADR and JBS SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JBS SA and BRF SA 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 BRF SA ADR are associated (or correlated) with JBS SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JBS SA has no effect on the direction of BRF SA i.e., BRF SA and JBS SA go up and down completely randomly.
Pair Corralation between BRF SA and JBS SA
Given the investment horizon of 90 days BRF SA ADR is expected to under-perform the JBS SA. In addition to that, BRF SA is 1.23 times more volatile than JBS SA. It trades about -0.05 of its total potential returns per unit of risk. JBS SA is currently generating about 0.05 per unit of volatility. If you would invest 1,237 in JBS SA on September 5, 2024 and sell it today you would earn a total of 23.00 from holding JBS SA or generate 1.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
BRF SA ADR vs. JBS SA
Performance |
| Timeline |
| BRF SA ADR |
| JBS SA |
BRF SA and JBS SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BRF SA and JBS SA
The main advantage of trading using opposite BRF SA and JBS SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BRF SA position performs unexpectedly, JBS 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 JBS SA will offset losses from the drop in JBS SA's long position.| BRF SA vs. Marfrig Global Foods | BRF SA vs. Pilgrims Pride Corp | BRF SA vs. John B Sanfilippo | BRF SA vs. Seneca Foods Corp |
| JBS SA vs. BRF SA ADR | JBS SA vs. Natures Sunshine Products | JBS SA vs. Marfrig Global Foods | JBS SA vs. Bridgford Foods |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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