Correlation Between Dun Bradstreet and CME
Can any of the company-specific risk be diversified away by investing in both Dun Bradstreet and CME 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 Dun Bradstreet and CME into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dun Bradstreet Holdings and CME Group, you can compare the effects of market volatilities on Dun Bradstreet and CME 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 Dun Bradstreet with a short position of CME. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dun Bradstreet and CME.
Diversification Opportunities for Dun Bradstreet and CME
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Dun and CME is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Dun Bradstreet Holdings and CME Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CME Group and Dun Bradstreet 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 Dun Bradstreet Holdings are associated (or correlated) with CME. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CME Group has no effect on the direction of Dun Bradstreet i.e., Dun Bradstreet and CME go up and down completely randomly.
Pair Corralation between Dun Bradstreet and CME
Considering the 90-day investment horizon Dun Bradstreet Holdings is expected to under-perform the CME. In addition to that, Dun Bradstreet is 2.59 times more volatile than CME Group. It trades about -0.39 of its total potential returns per unit of risk. CME Group is currently generating about 0.24 per unit of volatility. If you would invest 23,439 in CME Group on November 29, 2024 and sell it today you would earn a total of 1,360 from holding CME Group or generate 5.8% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 95.45% |
Values | Daily Returns |
Dun Bradstreet Holdings vs. CME Group
Performance |
Timeline |
Dun Bradstreet Holdings |
CME Group |
Dun Bradstreet and CME Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Dun Bradstreet and CME
The main advantage of trading using opposite Dun Bradstreet and CME positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dun Bradstreet position performs unexpectedly, CME 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 CME will offset losses from the drop in CME's long position.Dun Bradstreet vs. FactSet Research Systems | ||
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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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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