Correlation Between JSE and FNB ETN
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By analyzing existing cross correlation between JSE Limited and FNB ETN on, you can compare the effects of market volatilities on JSE and FNB ETN 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 JSE with a short position of FNB ETN. Check out your portfolio center. Please also check ongoing floating volatility patterns of JSE and FNB ETN.
Diversification Opportunities for JSE and FNB ETN
Good diversification
The 3 months correlation between JSE and FNB is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding JSE Limited and FNB ETN on in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FNB ETN on and JSE 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 JSE Limited are associated (or correlated) with FNB ETN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FNB ETN on has no effect on the direction of JSE i.e., JSE and FNB ETN go up and down completely randomly.
Pair Corralation between JSE and FNB ETN
Assuming the 90 days trading horizon JSE is expected to generate 1.53 times less return on investment than FNB ETN. In addition to that, JSE is 1.48 times more volatile than FNB ETN on. It trades about 0.05 of its total potential returns per unit of risk. FNB ETN on is currently generating about 0.11 per unit of volatility. If you would invest 125,000 in FNB ETN on on August 31, 2024 and sell it today you would earn a total of 43,300 from holding FNB ETN on or generate 34.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 75.54% |
| Values | Daily Returns |
JSE Limited vs. FNB ETN on
Performance |
| Timeline |
| JSE Limited |
| FNB ETN on |
JSE and FNB ETN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with JSE and FNB ETN
The main advantage of trading using opposite JSE and FNB ETN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JSE position performs unexpectedly, FNB ETN 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 FNB ETN will offset losses from the drop in FNB ETN's long position.| JSE vs. Astoria Investments | JSE vs. HomeChoice Investments | JSE vs. British American Tobacco | JSE vs. Brimstone Investment |
| FNB ETN vs. Europa Metals | FNB ETN vs. JSE Limited | FNB ETN vs. British American Tobacco | FNB ETN vs. Kap Industrial Holdings |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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