Correlation Between SBF 120 and JC Decaux
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By analyzing existing cross correlation between SBF 120 and JC Decaux SA, you can compare the effects of market volatilities on SBF 120 and JC Decaux 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 JC Decaux. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and JC Decaux.
Diversification Opportunities for SBF 120 and JC Decaux
Very poor diversification
The 3 months correlation between SBF and DEC is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and JC Decaux SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JC Decaux SA 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 JC Decaux. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JC Decaux SA has no effect on the direction of SBF 120 i.e., SBF 120 and JC Decaux go up and down completely randomly.
Pair Corralation between SBF 120 and JC Decaux
Assuming the 90 days trading horizon SBF 120 is expected to generate 0.61 times more return on investment than JC Decaux. However, SBF 120 is 1.63 times less risky than JC Decaux. It trades about 0.13 of its potential returns per unit of risk. JC Decaux SA is currently generating about -0.11 per unit of risk. If you would invest 596,288 in SBF 120 on November 28, 2024 and sell it today you would earn a total of 11,611 from holding SBF 120 or generate 1.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. JC Decaux SA
Performance |
| Timeline |
SBF 120 and JC Decaux Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
JC Decaux SA
Pair trading matchups for JC Decaux
Pair Trading with SBF 120 and JC Decaux
The main advantage of trading using opposite SBF 120 and JC Decaux positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, JC Decaux 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 JC Decaux will offset losses from the drop in JC Decaux's long position.| SBF 120 vs. CMG Cleantech SA | SBF 120 vs. Fiducial Office Solutions | SBF 120 vs. Eutelsat Communications SA | SBF 120 vs. Jacquet Metal Service |
| JC Decaux vs. Publicis Groupe SA | JC Decaux vs. Lagardere SCA | JC Decaux vs. Sodexo SA | JC Decaux vs. Imerys 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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