Correlation Between AMS Small and SBF 120
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By analyzing existing cross correlation between AMS Small Cap and SBF 120 Gross, you can compare the effects of market volatilities on AMS Small and SBF 120 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 AMS Small with a short position of SBF 120. Check out your portfolio center. Please also check ongoing floating volatility patterns of AMS Small and SBF 120.
Diversification Opportunities for AMS Small and SBF 120
Very weak diversification
The 3 months correlation between AMS and SBF is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding AMS Small Cap and SBF 120 Gross in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SBF 120 Gross and AMS Small 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 AMS Small Cap are associated (or correlated) with SBF 120. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SBF 120 Gross has no effect on the direction of AMS Small i.e., AMS Small and SBF 120 go up and down completely randomly.
Pair Corralation between AMS Small and SBF 120
Assuming the 90 days trading horizon AMS Small Cap is expected to generate 1.48 times more return on investment than SBF 120. However, AMS Small is 1.48 times more volatile than SBF 120 Gross. It trades about 0.06 of its potential returns per unit of risk. SBF 120 Gross is currently generating about -0.08 per unit of risk. If you would invest 120,768 in AMS Small Cap on September 1, 2024 and sell it today you would earn a total of 1,910 from holding AMS Small Cap or generate 1.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
AMS Small Cap vs. SBF 120 Gross
Performance |
| Timeline |
AMS Small and SBF 120 Volatility Contrast
Predicted Return Density |
| Returns |
AMS Small Cap
Pair trading matchups for AMS Small
SBF 120 Gross
Pair trading matchups for SBF 120
Pair Trading with AMS Small and SBF 120
The main advantage of trading using opposite AMS Small and SBF 120 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AMS Small position performs unexpectedly, SBF 120 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 SBF 120 will offset losses from the drop in SBF 120's long position.The idea behind AMS Small Cap and SBF 120 Gross pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| SBF 120 vs. Vastned Retail NV | SBF 120 vs. AMG Advanced Metallurgical | SBF 120 vs. Allfunds Group | SBF 120 vs. BE Semiconductor Industries |
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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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