Correlation Between Commerce Midcap and Dow Jones
Can any of the company-specific risk be diversified away by investing in both Commerce Midcap and Dow Jones 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 Commerce Midcap and Dow Jones into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commerce Midcap Value and Dow Jones Industrial, you can compare the effects of market volatilities on Commerce Midcap and Dow Jones 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 Commerce Midcap with a short position of Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commerce Midcap and Dow Jones.
Diversification Opportunities for Commerce Midcap and Dow Jones
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Commerce and Dow is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Commerce Midcap Value and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial and Commerce Midcap 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 Commerce Midcap Value are associated (or correlated) with Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of Commerce Midcap i.e., Commerce Midcap and Dow Jones go up and down completely randomly.
Pair Corralation between Commerce Midcap and Dow Jones
Assuming the 90 days horizon Commerce Midcap is expected to generate 1.05 times less return on investment than Dow Jones. In addition to that, Commerce Midcap is 1.24 times more volatile than Dow Jones Industrial. It trades about 0.07 of its total potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.1 per unit of volatility. If you would invest 3,181,914 in Dow Jones Industrial on November 30, 2024 and sell it today you would earn a total of 1,202,177 from holding Dow Jones Industrial or generate 37.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 65.25% |
| Values | Daily Returns |
Commerce Midcap Value vs. Dow Jones Industrial
Performance |
| Timeline |
Commerce Midcap and Dow Jones Volatility Contrast
Predicted Return Density |
| Returns |
Commerce Midcap Value
Pair trading matchups for Commerce Midcap
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with Commerce Midcap and Dow Jones
The main advantage of trading using opposite Commerce Midcap and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commerce Midcap position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.| Commerce Midcap vs. John Hancock Money | Commerce Midcap vs. Voya Government Money | Commerce Midcap vs. Hsbc Funds | Commerce Midcap vs. Doubleline Emerging Markets |
| Dow Jones vs. Cannae Holdings | Dow Jones vs. Fidus Investment Corp | Dow Jones vs. SEI Investments | Dow Jones vs. Cracker Barrel Old |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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