Market Neutral: Long
SBK
, Short
ABG
Over the long term (3 and 4 quarters), the correlation between
SBK
and
ABG
is high, with readings of 0.92 and 0.93 respectively. Over the short term (21 trading days or 1 month's worth of trading), the correction has developed a discrepancy, with the ratio dropping to 0.55 (
ABG
outperforming
SBK
by 7.94% over 1 month). On this basis, a market neutral/pairs trading opportunity emerged has where the relative ratio is expected to revert to the short term mean, either fully or in part.
Trading Levels:
Entry: 0.9239
Stop-loss: 0.9025
Target: 0.9700
For more research, including trade ideas, get in touch today.
SBK
, Short
ABG
Over the long term (3 and 4 quarters), the correlation between
SBK
and
ABG
is high, with readings of 0.92 and 0.93 respectively. Over the short term (21 trading days or 1 month's worth of trading), the correction has developed a discrepancy, with the ratio dropping to 0.55 (
ABG
outperforming
SBK
by 7.94% over 1 month). On this basis, a market neutral/pairs trading opportunity emerged has where the relative ratio is expected to revert to the short term mean, either fully or in part. Trading Levels:
Entry: 0.9239
Stop-loss: 0.9025
Target: 0.9700
For more research, including trade ideas, get in touch today.