Correlation Between SBF 120 and SPDR SP
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By analyzing existing cross correlation between SBF 120 and SPDR SP 500, you can compare the effects of market volatilities on SBF 120 and SPDR SP 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 SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and SPDR SP.
Diversification Opportunities for SBF 120 and SPDR SP
Excellent diversification
The 3 months correlation between SBF and SPDR is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and SPDR SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPDR SP 500 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 SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPDR SP 500 has no effect on the direction of SBF 120 i.e., SBF 120 and SPDR SP go up and down completely randomly.
Pair Corralation between SBF 120 and SPDR SP
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the SPDR SP. But the index apears to be less risky and, when comparing its historical volatility, SBF 120 is 1.3 times less risky than SPDR SP. The index trades about -0.2 of its potential returns per unit of risk. The SPDR SP 500 is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 53,880 in SPDR SP 500 on August 28, 2024 and sell it today you would earn a total of 3,300 from holding SPDR SP 500 or generate 6.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. SPDR SP 500
Performance |
| Timeline |
SBF 120 and SPDR SP Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
SPDR SP 500
Pair trading matchups for SPDR SP
Pair Trading with SBF 120 and SPDR SP
The main advantage of trading using opposite SBF 120 and SPDR SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, SPDR SP 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 SP will offset losses from the drop in SPDR SP's long position.| SBF 120 vs. X Fab Silicon | SBF 120 vs. Axway Software | SBF 120 vs. Covivio Hotels | SBF 120 vs. Novatech Industries 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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