Correlation Between Summit Materials and CBOE Low
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By analyzing existing cross correlation between Summit Materials and CBOE Low Volatility, you can compare the effects of market volatilities on Summit Materials and CBOE Low 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 Summit Materials with a short position of CBOE Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of Summit Materials and CBOE Low.
Diversification Opportunities for Summit Materials and CBOE Low
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Summit and CBOE is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Summit Materials and CBOE Low Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CBOE Low Volatility and Summit Materials 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 Summit Materials are associated (or correlated) with CBOE Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CBOE Low Volatility has no effect on the direction of Summit Materials i.e., Summit Materials and CBOE Low go up and down completely randomly.
Pair Corralation between Summit Materials and CBOE Low
Considering the 90-day investment horizon Summit Materials is expected to generate 3.6 times more return on investment than CBOE Low. However, Summit Materials is 3.6 times more volatile than CBOE Low Volatility. It trades about 0.07 of its potential returns per unit of risk. CBOE Low Volatility is currently generating about 0.11 per unit of risk. If you would invest 2,902 in Summit Materials on September 14, 2024 and sell it today you would earn a total of 2,179 from holding Summit Materials or generate 75.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Summit Materials vs. CBOE Low Volatility
Performance |
| Timeline |
Summit Materials and CBOE Low Volatility Contrast
Predicted Return Density |
| Returns |
Summit Materials
Pair trading matchups for Summit Materials
CBOE Low Volatility
Pair trading matchups for CBOE Low
Pair Trading with Summit Materials and CBOE Low
The main advantage of trading using opposite Summit Materials and CBOE Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Summit Materials position performs unexpectedly, CBOE Low 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 CBOE Low will offset losses from the drop in CBOE Low's long position.| Summit Materials vs. Martin Marietta Materials | Summit Materials vs. Vulcan Materials | Summit Materials vs. United States Lime | Summit Materials vs. James Hardie Industries |
| CBOE Low vs. Summit Materials | CBOE Low vs. ServiceNow | CBOE Low vs. Arrow Electronics | CBOE Low vs. Evolution Mining |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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