Correlation Between MUNRE and Stepan
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By analyzing existing cross correlation between MUNRE 5875 23 MAY 42 and Stepan Company, you can compare the effects of market volatilities on MUNRE and Stepan 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 MUNRE with a short position of Stepan. Check out your portfolio center. Please also check ongoing floating volatility patterns of MUNRE and Stepan.
Diversification Opportunities for MUNRE and Stepan
Significant diversification
The 3 months correlation between MUNRE and Stepan is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding MUNRE 5875 23 MAY 42 and Stepan Company in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Stepan Company and MUNRE 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 MUNRE 5875 23 MAY 42 are associated (or correlated) with Stepan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stepan Company has no effect on the direction of MUNRE i.e., MUNRE and Stepan go up and down completely randomly.
Pair Corralation between MUNRE and Stepan
Assuming the 90 days trading horizon MUNRE 5875 23 MAY 42 is expected to generate 4.08 times more return on investment than Stepan. However, MUNRE is 4.08 times more volatile than Stepan Company. It trades about 0.02 of its potential returns per unit of risk. Stepan Company is currently generating about 0.06 per unit of risk. If you would invest 10,375 in MUNRE 5875 23 MAY 42 on September 12, 2024 and sell it today you would lose (275.00) from holding MUNRE 5875 23 MAY 42 or give up 2.65% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 35.94% |
| Values | Daily Returns |
MUNRE 5875 23 MAY 42 vs. Stepan Company
Performance |
| Timeline |
| MUNRE 5875 23 |
| Stepan Company |
MUNRE and Stepan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MUNRE and Stepan
The main advantage of trading using opposite MUNRE and Stepan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MUNRE position performs unexpectedly, Stepan 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 Stepan will offset losses from the drop in Stepan's long position.The idea behind MUNRE 5875 23 MAY 42 and Stepan Company 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.| Stepan vs. LyondellBasell Industries NV | Stepan vs. International Flavors Fragrances | Stepan vs. Cabot | Stepan vs. Westlake Chemical |
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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