Correlation Between SBF 120 and SPDR MSCI
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By analyzing existing cross correlation between SBF 120 and SPDR MSCI EMU, you can compare the effects of market volatilities on SBF 120 and SPDR 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 SPDR MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and SPDR MSCI.
Diversification Opportunities for SBF 120 and SPDR MSCI
Poor diversification
The 3 months correlation between SBF and SPDR is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and SPDR MSCI EMU in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR MSCI EMU 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 SPDR MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR MSCI EMU has no effect on the direction of SBF 120 i.e., SBF 120 and SPDR MSCI go up and down completely randomly.
Pair Corralation between SBF 120 and SPDR MSCI
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the SPDR MSCI. In addition to that, SBF 120 is 1.8 times more volatile than SPDR MSCI EMU. It trades about -0.16 of its total potential returns per unit of risk. SPDR MSCI EMU is currently generating about -0.16 per unit of volatility. If you would invest 7,499 in SPDR MSCI EMU on August 31, 2024 and sell it today you would lose (129.00) from holding SPDR MSCI EMU or give up 1.72% 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. SPDR MSCI EMU
Performance |
| Timeline |
SBF 120 and SPDR MSCI Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
SPDR MSCI EMU
Pair trading matchups for SPDR MSCI
Pair Trading with SBF 120 and SPDR MSCI
The main advantage of trading using opposite SBF 120 and SPDR MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, SPDR 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 SPDR MSCI will offset losses from the drop in SPDR MSCI's long position.| SBF 120 vs. Lexibook Linguistic Electronic | SBF 120 vs. Eutelsat Communications SA | SBF 120 vs. Soditech SA | SBF 120 vs. Fill Up Media |
| SPDR MSCI vs. Multi Units France | SPDR MSCI vs. Lyxor MSCI China | SPDR MSCI vs. Lyxor Commodities RefinitivCoreCommodity | SPDR MSCI 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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