Correlation Between JD Sports and Hammerson PLC
Can any of the company-specific risk be diversified away by investing in both JD Sports and Hammerson PLC 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 JD Sports and Hammerson PLC into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JD Sports Fashion and Hammerson PLC, you can compare the effects of market volatilities on JD Sports and Hammerson PLC 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 JD Sports with a short position of Hammerson PLC. Check out your portfolio center. Please also check ongoing floating volatility patterns of JD Sports and Hammerson PLC.
Diversification Opportunities for JD Sports and Hammerson PLC
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between JD Sports and Hammerson is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding JD Sports Fashion and Hammerson PLC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Hammerson PLC and JD 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 JD Sports Fashion are associated (or correlated) with Hammerson PLC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hammerson PLC has no effect on the direction of JD Sports i.e., JD Sports and Hammerson PLC go up and down completely randomly.
Pair Corralation between JD Sports and Hammerson PLC
Assuming the 90 days trading horizon JD Sports is expected to generate 10.92 times less return on investment than Hammerson PLC. In addition to that, JD Sports is 1.26 times more volatile than Hammerson PLC. It trades about 0.0 of its total potential returns per unit of risk. Hammerson PLC is currently generating about 0.03 per unit of volatility. If you would invest 23,138 in Hammerson PLC on September 3, 2024 and sell it today you would earn a total of 6,122 from holding Hammerson PLC or generate 26.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
JD Sports Fashion vs. Hammerson PLC
Performance |
| Timeline |
| JD Sports Fashion |
| Hammerson PLC |
JD Sports and Hammerson PLC Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with JD Sports and Hammerson PLC
The main advantage of trading using opposite JD Sports and Hammerson PLC positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JD Sports position performs unexpectedly, Hammerson PLC 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 Hammerson PLC will offset losses from the drop in Hammerson PLC's long position.| JD Sports vs. Sovereign Metals | JD Sports vs. Ryanair Holdings plc | JD Sports vs. SilverCrest Metals | JD Sports vs. European Metals Holdings |
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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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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