Correlation Between Dunham Focused and Dunham Dynamic
Can any of the company-specific risk be diversified away by investing in both Dunham Focused and Dunham Dynamic 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 Dunham Focused and Dunham Dynamic into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dunham Focused Large and Dunham Dynamic Macro, you can compare the effects of market volatilities on Dunham Focused and Dunham Dynamic 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 Dunham Focused with a short position of Dunham Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dunham Focused and Dunham Dynamic.
Diversification Opportunities for Dunham Focused and Dunham Dynamic
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Dunham and Dunham is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Dunham Focused Large and Dunham Dynamic Macro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dunham Dynamic Macro and Dunham Focused 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 Dunham Focused Large are associated (or correlated) with Dunham Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dunham Dynamic Macro has no effect on the direction of Dunham Focused i.e., Dunham Focused and Dunham Dynamic go up and down completely randomly.
Pair Corralation between Dunham Focused and Dunham Dynamic
Assuming the 90 days horizon Dunham Focused Large is expected to generate 4.82 times more return on investment than Dunham Dynamic. However, Dunham Focused is 4.82 times more volatile than Dunham Dynamic Macro. It trades about 0.36 of its potential returns per unit of risk. Dunham Dynamic Macro is currently generating about 0.28 per unit of risk. If you would invest 4,199 in Dunham Focused Large on September 1, 2024 and sell it today you would earn a total of 325.00 from holding Dunham Focused Large or generate 7.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dunham Focused Large vs. Dunham Dynamic Macro
Performance |
| Timeline |
| Dunham Focused Large |
| Dunham Dynamic Macro |
Dunham Focused and Dunham Dynamic Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dunham Focused and Dunham Dynamic
The main advantage of trading using opposite Dunham Focused and Dunham Dynamic positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dunham Focused position performs unexpectedly, Dunham Dynamic 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 Dunham Dynamic will offset losses from the drop in Dunham Dynamic's long position.| Dunham Focused vs. Jhancock Short Duration | Dunham Focused vs. Old Westbury Short Term | Dunham Focused vs. Astor Longshort Fund | Dunham Focused vs. Maryland Short Term Tax Free |
| Dunham Dynamic vs. Dunham Appreciation Income | Dunham Dynamic vs. Dunham Porategovernment Bond | Dunham Dynamic vs. Dunham Small Cap | Dunham Dynamic vs. Dunham Emerging Markets |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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