Correlation Between Ab Impact and State Street
Can any of the company-specific risk be diversified away by investing in both Ab Impact and State Street 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 Ab Impact and State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Impact Municipal and State Street Hedged, you can compare the effects of market volatilities on Ab Impact and State Street 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 Ab Impact with a short position of State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Impact and State Street.
Diversification Opportunities for Ab Impact and State Street
0.17 | Correlation Coefficient |
Average diversification
The 3 months correlation between ABIMX and State is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Ab Impact Municipal and State Street Hedged in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Hedged and Ab Impact 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 Ab Impact Municipal are associated (or correlated) with State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Hedged has no effect on the direction of Ab Impact i.e., Ab Impact and State Street go up and down completely randomly.
Pair Corralation between Ab Impact and State Street
Assuming the 90 days horizon Ab Impact is expected to generate 1.87 times less return on investment than State Street. But when comparing it to its historical volatility, Ab Impact Municipal is 2.04 times less risky than State Street. It trades about 0.11 of its potential returns per unit of risk. State Street Hedged is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 10,179 in State Street Hedged on September 12, 2024 and sell it today you would earn a total of 2,406 from holding State Street Hedged or generate 23.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ab Impact Municipal vs. State Street Hedged
Performance |
| Timeline |
| Ab Impact Municipal |
| State Street Hedged |
Ab Impact and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Impact and State Street
The main advantage of trading using opposite Ab Impact and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Impact position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Ab Impact vs. SCOR PK | Ab Impact vs. Morningstar Unconstrained Allocation | Ab Impact vs. Thrivent High Yield | Ab Impact vs. Via Renewables |
| State Street vs. Ab Impact Municipal | State Street vs. T Rowe Price | State Street vs. California High Yield Municipal | State Street vs. Franklin High Yield |
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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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