Correlation Between Jeronimo Martins and Sonae SGPS
Can any of the company-specific risk be diversified away by investing in both Jeronimo Martins and Sonae SGPS 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 Jeronimo Martins and Sonae SGPS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jeronimo Martins SGPS and Sonae SGPS SA, you can compare the effects of market volatilities on Jeronimo Martins and Sonae SGPS 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 Jeronimo Martins with a short position of Sonae SGPS. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jeronimo Martins and Sonae SGPS.
Diversification Opportunities for Jeronimo Martins and Sonae SGPS
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Jeronimo and Sonae is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Jeronimo Martins SGPS and Sonae SGPS SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sonae SGPS SA and Jeronimo Martins 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 Jeronimo Martins SGPS are associated (or correlated) with Sonae SGPS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sonae SGPS SA has no effect on the direction of Jeronimo Martins i.e., Jeronimo Martins and Sonae SGPS go up and down completely randomly.
Pair Corralation between Jeronimo Martins and Sonae SGPS
Assuming the 90 days trading horizon Jeronimo Martins SGPS is expected to under-perform the Sonae SGPS. In addition to that, Jeronimo Martins is 2.46 times more volatile than Sonae SGPS SA. It trades about -0.03 of its total potential returns per unit of risk. Sonae SGPS SA is currently generating about 0.0 per unit of volatility. If you would invest 95.00 in Sonae SGPS SA on September 1, 2024 and sell it today you would lose (1.00) from holding Sonae SGPS SA or give up 1.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.24% |
| Values | Daily Returns |
Jeronimo Martins SGPS vs. Sonae SGPS SA
Performance |
| Timeline |
| Jeronimo Martins SGPS |
| Sonae SGPS SA |
Jeronimo Martins and Sonae SGPS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jeronimo Martins and Sonae SGPS
The main advantage of trading using opposite Jeronimo Martins and Sonae SGPS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jeronimo Martins position performs unexpectedly, Sonae SGPS 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 Sonae SGPS will offset losses from the drop in Sonae SGPS's long position.| Jeronimo Martins vs. Sonae SGPS SA | Jeronimo Martins vs. Galp Energia SGPS | Jeronimo Martins vs. EDP Energias | Jeronimo Martins vs. Altri SGPS SA |
| Sonae SGPS vs. Banco Comercial Portugues | Sonae SGPS vs. NOS SGPS SA | Sonae SGPS vs. The Navigator | Sonae SGPS vs. Altri SGPS SA |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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