Correlation Between SBF 120 and Amundi ETF
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By analyzing existing cross correlation between SBF 120 and Amundi ETF MSCI, you can compare the effects of market volatilities on SBF 120 and Amundi ETF 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 ETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Amundi ETF.
Diversification Opportunities for SBF 120 and Amundi ETF
1.0 | Correlation Coefficient |
No risk reduction
The 3 months correlation between SBF and Amundi is 1.0. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Amundi ETF MSCI in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amundi ETF MSCI 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 ETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amundi ETF MSCI has no effect on the direction of SBF 120 i.e., SBF 120 and Amundi ETF go up and down completely randomly.
Pair Corralation between SBF 120 and Amundi ETF
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the Amundi ETF. But the index apears to be less risky and, when comparing its historical volatility, SBF 120 is 1.03 times less risky than Amundi ETF. The index trades about -0.08 of its potential returns per unit of risk. The Amundi ETF MSCI is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 37,880 in Amundi ETF MSCI on September 1, 2024 and sell it today you would lose (545.00) from holding Amundi ETF MSCI or give up 1.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Amundi ETF MSCI
Performance |
| Timeline |
SBF 120 and Amundi ETF Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Amundi ETF MSCI
Pair trading matchups for Amundi ETF
Pair Trading with SBF 120 and Amundi ETF
The main advantage of trading using opposite SBF 120 and Amundi ETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Amundi ETF 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 ETF will offset losses from the drop in Amundi ETF's long position.| SBF 120 vs. Jacquet Metal Service | SBF 120 vs. Eutelsat Communications SA | SBF 120 vs. Hotelim Socit Anonyme | SBF 120 vs. Gaztransport Technigaz SAS |
| Amundi ETF vs. Multi Units France | Amundi ETF vs. Lyxor MSCI China | Amundi ETF vs. Lyxor Commodities RefinitivCoreCommodity | Amundi ETF vs. Manitou BF 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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