Correlation Between SBF 120 and Stef SA
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By analyzing existing cross correlation between SBF 120 and Stef SA, you can compare the effects of market volatilities on SBF 120 and Stef SA 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 Stef SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of SBF 120 and Stef SA.
Diversification Opportunities for SBF 120 and Stef SA
Very weak diversification
The 3 months correlation between SBF and Stef is 0.49. Overlapping area represents the amount of risk that can be diversified away by holding SBF 120 and Stef SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stef 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 Stef SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stef SA has no effect on the direction of SBF 120 i.e., SBF 120 and Stef SA go up and down completely randomly.
Pair Corralation between SBF 120 and Stef SA
Assuming the 90 days trading horizon SBF 120 is expected to under-perform the Stef SA. But the index apears to be less risky and, when comparing its historical volatility, SBF 120 is 1.09 times less risky than Stef SA. The index trades about -0.2 of its potential returns per unit of risk. The Stef SA is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 13,400 in Stef SA on August 28, 2024 and sell it today you would lose (120.00) from holding Stef SA or give up 0.9% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
SBF 120 vs. Stef SA
Performance |
| Timeline |
SBF 120 and Stef SA Volatility Contrast
Predicted Return Density |
| Returns |
SBF 120
Pair trading matchups for SBF 120
Stef SA
Pair trading matchups for Stef SA
Pair Trading with SBF 120 and Stef SA
The main advantage of trading using opposite SBF 120 and Stef SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SBF 120 position performs unexpectedly, Stef SA 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 Stef SA will offset losses from the drop in Stef SA'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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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