Correlation Between Capri Holdings and SBF 120
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By analyzing existing cross correlation between Capri Holdings and SBF 120 Gross, you can compare the effects of market volatilities on Capri Holdings 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 Capri Holdings with a short position of SBF 120. Check out your portfolio center. Please also check ongoing floating volatility patterns of Capri Holdings and SBF 120.
Diversification Opportunities for Capri Holdings and SBF 120
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Capri and SBF is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Capri Holdings 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 Capri Holdings 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 Capri Holdings 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 Capri Holdings i.e., Capri Holdings and SBF 120 go up and down completely randomly.
Pair Corralation between Capri Holdings and SBF 120
Given the investment horizon of 90 days Capri Holdings is expected to generate 3.94 times more return on investment than SBF 120. However, Capri Holdings is 3.94 times more volatile than SBF 120 Gross. It trades about 0.19 of its potential returns per unit of risk. SBF 120 Gross is currently generating about -0.24 per unit of risk. If you would invest 2,048 in Capri Holdings on August 30, 2024 and sell it today you would earn a total of 304.00 from holding Capri Holdings or generate 14.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Capri Holdings vs. SBF 120 Gross
Performance |
| Timeline |
Capri Holdings and SBF 120 Volatility Contrast
Predicted Return Density |
| Returns |
Capri Holdings
Pair trading matchups for Capri Holdings
SBF 120 Gross
Pair trading matchups for SBF 120
Pair Trading with Capri Holdings and SBF 120
The main advantage of trading using opposite Capri Holdings and SBF 120 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Capri Holdings 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.| Capri Holdings vs. Movado Group | Capri Holdings vs. Signet Jewelers | Capri Holdings vs. Lanvin Group Holdings | Capri Holdings vs. TheRealReal |
| SBF 120 vs. Accsys Technologies | SBF 120 vs. Flow Traders BV | SBF 120 vs. Eurocastle Investment | SBF 120 vs. BE Semiconductor Industries |
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