Correlation Between Stef SA and ABC Arbitrage
Can any of the company-specific risk be diversified away by investing in both Stef SA and ABC Arbitrage at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Stef SA and ABC Arbitrage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stef SA and ABC arbitrage SA, you can compare the effects of market volatilities on Stef SA and ABC Arbitrage 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 Stef SA with a short position of ABC Arbitrage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stef SA and ABC Arbitrage.
Diversification Opportunities for Stef SA and ABC Arbitrage
-0.55 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Stef and ABC is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Stef SA and ABC arbitrage SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ABC arbitrage SA and Stef SA 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 Stef SA are associated (or correlated) with ABC Arbitrage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ABC arbitrage SA has no effect on the direction of Stef SA i.e., Stef SA and ABC Arbitrage go up and down completely randomly.
Pair Corralation between Stef SA and ABC Arbitrage
Assuming the 90 days trading horizon Stef SA is expected to under-perform the ABC Arbitrage. But the stock apears to be less risky and, when comparing its historical volatility, Stef SA is 1.42 times less risky than ABC Arbitrage. The stock trades about -0.1 of its potential returns per unit of risk. The ABC arbitrage SA is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 472.00 in ABC arbitrage SA on August 29, 2024 and sell it today you would earn a total of 9.00 from holding ABC arbitrage SA or generate 1.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Stef SA vs. ABC arbitrage SA
Performance |
| Timeline |
| Stef SA |
| ABC arbitrage SA |
Stef SA and ABC Arbitrage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Stef SA and ABC Arbitrage
The main advantage of trading using opposite Stef SA and ABC Arbitrage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stef SA position performs unexpectedly, ABC Arbitrage 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 ABC Arbitrage will offset losses from the drop in ABC Arbitrage's long position.The idea behind Stef SA and ABC arbitrage SA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| ABC Arbitrage vs. CBO Territoria SA | ABC Arbitrage vs. Rubis SCA | ABC Arbitrage vs. Nexity | ABC Arbitrage vs. Gaztransport Technigaz SAS |
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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
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