Correlation Between SBF 120 and Amundi MSCI
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By analyzing existing cross correlation between SBF 120 and Amundi MSCI Europe, you can compare the effects of market volatilities on SBF 120 and Amundi MSCI 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 SBF 120 with a short position of Amundi MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Amundi MSCI.
Diversification Opportunities for SBF 120 and Amundi MSCI
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SBF and Amundi is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Amundi MSCI Europe in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi MSCI Europe and SBF 120 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 SBF 120 are associated (or correlated) with Amundi MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi MSCI Europe has no effect on the direction of SBF 120 i.e., SBF 120 and Amundi MSCI go up and down completely randomly.
Pair Corralation between SBF 120 and Amundi MSCI
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the Amundi MSCI. In addition to that, SBF 120 is 1.46 times more volatile than Amundi MSCI Europe. It trades about -0.07 of its total potential returns per unit of risk. Amundi MSCI Europe is currently generating about -0.02 per unit of volatility. If you would invest 18,696 in Amundi MSCI Europe on August 28, 2024 and sell it today you would lose (202.00) from holding Amundi MSCI Europe or give up 1.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Amundi MSCI Europe
Performance |
| Timeline |
SBF 120 and Amundi MSCI Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Amundi MSCI Europe
Pair trading matchups for Amundi MSCI
Pair Trading with SBF 120 and Amundi MSCI
The main advantage of trading using opposite SBF 120 and Amundi MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Amundi MSCI 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 Amundi MSCI will offset losses from the drop in Amundi MSCI's long position.| SBF 120 vs. ZCCM Investments Holdings | SBF 120 vs. Les Hotels Bav | SBF 120 vs. X Fab Silicon | SBF 120 vs. CMG Cleantech 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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