Correlation Between Absolute Convertible and Quantitative
Can any of the company-specific risk be diversified away by investing in both Absolute Convertible and Quantitative 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 Absolute Convertible and Quantitative into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Absolute Convertible Arbitrage and Quantitative U S, you can compare the effects of market volatilities on Absolute Convertible and Quantitative 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 Absolute Convertible with a short position of Quantitative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Absolute Convertible and Quantitative.
Diversification Opportunities for Absolute Convertible and Quantitative
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Absolute and Quantitative is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Absolute Convertible Arbitrage and Quantitative U S in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Quantitative U S and Absolute Convertible 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 Absolute Convertible Arbitrage are associated (or correlated) with Quantitative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Quantitative U S has no effect on the direction of Absolute Convertible i.e., Absolute Convertible and Quantitative go up and down completely randomly.
Pair Corralation between Absolute Convertible and Quantitative
Assuming the 90 days horizon Absolute Convertible is expected to generate 3.24 times less return on investment than Quantitative. But when comparing it to its historical volatility, Absolute Convertible Arbitrage is 28.42 times less risky than Quantitative. It trades about 0.64 of its potential returns per unit of risk. Quantitative U S is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,491 in Quantitative U S on September 1, 2024 and sell it today you would earn a total of 187.00 from holding Quantitative U S or generate 12.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Absolute Convertible Arbitrage vs. Quantitative U S
Performance |
| Timeline |
| Absolute Convertible |
| Quantitative U S |
Absolute Convertible and Quantitative Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Absolute Convertible and Quantitative
The main advantage of trading using opposite Absolute Convertible and Quantitative positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Absolute Convertible position performs unexpectedly, Quantitative 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 Quantitative will offset losses from the drop in Quantitative's long position.| Absolute Convertible vs. Amg Managers Centersquare | Absolute Convertible vs. Dunham Real Estate | Absolute Convertible vs. Great West Real Estate | Absolute Convertible vs. Virtus Real Estate |
| Quantitative vs. Allianzgi Convertible Income | Quantitative vs. Fidelity Sai Convertible | Quantitative vs. Absolute Convertible Arbitrage | Quantitative vs. Columbia Vertible Securities |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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