Correlation Between Brandes Core and Brandes International
Can any of the company-specific risk be diversified away by investing in both Brandes Core and Brandes International 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 Brandes Core and Brandes International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Brandes E Plus and Brandes International Small, you can compare the effects of market volatilities on Brandes Core and Brandes International 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 Brandes Core with a short position of Brandes International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brandes Core and Brandes International.
Diversification Opportunities for Brandes Core and Brandes International
0.34 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Brandes and Brandes is 0.34. Overlapping area represents the amount of risk that can be diversified away by holding Brandes E Plus and Brandes International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brandes International and Brandes Core 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 Brandes E Plus are associated (or correlated) with Brandes International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brandes International has no effect on the direction of Brandes Core i.e., Brandes Core and Brandes International go up and down completely randomly.
Pair Corralation between Brandes Core and Brandes International
Assuming the 90 days horizon Brandes Core is expected to generate 1.69 times less return on investment than Brandes International. But when comparing it to its historical volatility, Brandes E Plus is 2.38 times less risky than Brandes International. It trades about 0.07 of its potential returns per unit of risk. Brandes International Small is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 1,815 in Brandes International Small on September 3, 2024 and sell it today you would earn a total of 71.00 from holding Brandes International Small or generate 3.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Brandes E Plus vs. Brandes International Small
Performance |
| Timeline |
| Brandes E Plus |
| Brandes International |
Brandes Core and Brandes International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Brandes Core and Brandes International
The main advantage of trading using opposite Brandes Core and Brandes International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Brandes Core position performs unexpectedly, Brandes International 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 Brandes International will offset losses from the drop in Brandes International's long position.| Brandes Core vs. Metropolitan West Total | Brandes Core vs. Metropolitan West Total | Brandes Core vs. Pimco Total Return | Brandes Core vs. Total Return Fund |
| Brandes International vs. Ab High Income | Brandes International vs. Gmo High Yield | Brandes International vs. Lgm Risk Managed | Brandes International vs. Western Asset High |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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