Correlation Between Barclays ETN and Doubleline Shiller
Can any of the company-specific risk be diversified away by investing in both Barclays ETN and Doubleline Shiller 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 Barclays ETN and Doubleline Shiller into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Barclays ETN Shiller and Doubleline Shiller Enhanced, you can compare the effects of market volatilities on Barclays ETN and Doubleline Shiller 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 Barclays ETN with a short position of Doubleline Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Barclays ETN and Doubleline Shiller.
Diversification Opportunities for Barclays ETN and Doubleline Shiller
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Barclays and Doubleline is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Barclays ETN Shiller and Doubleline Shiller Enhanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Doubleline Shiller and Barclays ETN 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 Barclays ETN Shiller are associated (or correlated) with Doubleline Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Doubleline Shiller has no effect on the direction of Barclays ETN i.e., Barclays ETN and Doubleline Shiller go up and down completely randomly.
Pair Corralation between Barclays ETN and Doubleline Shiller
Given the investment horizon of 90 days Barclays ETN Shiller is expected to under-perform the Doubleline Shiller. In addition to that, Barclays ETN is 1.0 times more volatile than Doubleline Shiller Enhanced. It trades about -0.07 of its total potential returns per unit of risk. Doubleline Shiller Enhanced is currently generating about -0.06 per unit of volatility. If you would invest 1,521 in Doubleline Shiller Enhanced on January 18, 2025 and sell it today you would lose (55.00) from holding Doubleline Shiller Enhanced or give up 3.62% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Barclays ETN Shiller vs. Doubleline Shiller Enhanced
Performance |
| Timeline |
| Barclays ETN Shiller |
| Doubleline Shiller |
Barclays ETN and Doubleline Shiller Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Barclays ETN and Doubleline Shiller
The main advantage of trading using opposite Barclays ETN and Doubleline Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Barclays ETN position performs unexpectedly, Doubleline Shiller 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 Doubleline Shiller will offset losses from the drop in Doubleline Shiller's long position.| Barclays ETN vs. VanEck China Bond | Barclays ETN vs. Barclays ETN Select | Barclays ETN vs. SPDR SSGA Large | Barclays ETN vs. Freedom 100 Emerging |
| Doubleline Shiller vs. Wcm Focused International | Doubleline Shiller vs. Parnassus Mid Cap | Doubleline Shiller vs. Pimco Income Fund | Doubleline Shiller vs. Parnassus Endeavor Fund |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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