Correlation Between SBF 120 and Derichebourg
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By analyzing existing cross correlation between SBF 120 and Derichebourg, you can compare the effects of market volatilities on SBF 120 and Derichebourg 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 Derichebourg. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Derichebourg.
Diversification Opportunities for SBF 120 and Derichebourg
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SBF and Derichebourg is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Derichebourg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Derichebourg 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 Derichebourg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Derichebourg has no effect on the direction of SBF 120 i.e., SBF 120 and Derichebourg go up and down completely randomly.
Pair Corralation between SBF 120 and Derichebourg
Assuming the 90 days trading horizon SBF 120 is expected to generate 0.34 times more return on investment than Derichebourg. However, SBF 120 is 2.97 times less risky than Derichebourg. It trades about -0.2 of its potential returns per unit of risk. Derichebourg is currently generating about -0.25 per unit of risk. If you would invest 572,831 in SBF 120 on August 28, 2024 and sell it today you would lose (22,200) from holding SBF 120 or give up 3.88% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Derichebourg
Performance |
| Timeline |
SBF 120 and Derichebourg Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Derichebourg
Pair trading matchups for Derichebourg
Pair Trading with SBF 120 and Derichebourg
The main advantage of trading using opposite SBF 120 and Derichebourg positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Derichebourg 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 Derichebourg will offset losses from the drop in Derichebourg'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 |
| Derichebourg vs. Prodways Group SA | Derichebourg vs. Claranova SE | Derichebourg vs. DBV Technologies SA | Derichebourg 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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