Correlation Between John B and BRF SA
Can any of the company-specific risk be diversified away by investing in both John B and BRF 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 John B and BRF SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between John B Sanfilippo and BRF SA ADR, you can compare the effects of market volatilities on John B and BRF 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 John B with a short position of BRF SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of John B and BRF SA.
Diversification Opportunities for John B and BRF SA
Modest diversification
The 3 months correlation between John and BRF is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding John B Sanfilippo and BRF SA ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BRF SA ADR and John B 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 John B Sanfilippo are associated (or correlated) with BRF SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BRF SA ADR has no effect on the direction of John B i.e., John B and BRF SA go up and down completely randomly.
Pair Corralation between John B and BRF SA
Given the investment horizon of 90 days John B Sanfilippo is expected to under-perform the BRF SA. In addition to that, John B is 1.31 times more volatile than BRF SA ADR. It trades about -0.28 of its total potential returns per unit of risk. BRF SA ADR is currently generating about -0.16 per unit of volatility. If you would invest 407.00 in BRF SA ADR on November 3, 2024 and sell it today you would lose (32.00) from holding BRF SA ADR or give up 7.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
John B Sanfilippo vs. BRF SA ADR
Performance |
| Timeline |
| John B Sanfilippo |
| BRF SA ADR |
John B and BRF SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with John B and BRF SA
The main advantage of trading using opposite John B and BRF SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if John B position performs unexpectedly, BRF 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 BRF SA will offset losses from the drop in BRF SA's long position.| John B vs. Lancaster Colony | John B vs. Treehouse Foods | John B vs. Seneca Foods Corp | John B vs. J J Snack |
| BRF SA vs. Marfrig Global Foods | BRF SA vs. Pilgrims Pride Corp | BRF SA vs. John B Sanfilippo | BRF SA vs. Seneca Foods Corp |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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