Correlation Between Dreyfus International and Dreyfus Midcap
Can any of the company-specific risk be diversified away by investing in both Dreyfus International and Dreyfus Midcap 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 Dreyfus International and Dreyfus Midcap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dreyfus International Stock and Dreyfus Midcap Index, you can compare the effects of market volatilities on Dreyfus International and Dreyfus Midcap 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 Dreyfus International with a short position of Dreyfus Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus International and Dreyfus Midcap.
Diversification Opportunities for Dreyfus International and Dreyfus Midcap
-0.59 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Dreyfus and Dreyfus is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus International Stock and Dreyfus Midcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dreyfus Midcap Index and Dreyfus International 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 Dreyfus International Stock are associated (or correlated) with Dreyfus Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dreyfus Midcap Index has no effect on the direction of Dreyfus International i.e., Dreyfus International and Dreyfus Midcap go up and down completely randomly.
Pair Corralation between Dreyfus International and Dreyfus Midcap
Assuming the 90 days horizon Dreyfus International is expected to generate 4.48 times less return on investment than Dreyfus Midcap. But when comparing it to its historical volatility, Dreyfus International Stock is 1.21 times less risky than Dreyfus Midcap. It trades about 0.02 of its potential returns per unit of risk. Dreyfus Midcap Index is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 2,963 in Dreyfus Midcap Index on September 1, 2024 and sell it today you would earn a total of 478.00 from holding Dreyfus Midcap Index or generate 16.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dreyfus International Stock vs. Dreyfus Midcap Index
Performance |
| Timeline |
| Dreyfus International |
| Dreyfus Midcap Index |
Dreyfus International and Dreyfus Midcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus International and Dreyfus Midcap
The main advantage of trading using opposite Dreyfus International and Dreyfus Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus International position performs unexpectedly, Dreyfus Midcap 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 Dreyfus Midcap will offset losses from the drop in Dreyfus Midcap's long position.| Dreyfus International vs. Dreyfus Smallcap Stock | Dreyfus International vs. Dreyfus Midcap Index | Dreyfus International vs. Dreyfus Bond Market | Dreyfus International vs. Dreyfus Sp 500 |
| Dreyfus Midcap vs. Dreyfus Smallcap Stock | Dreyfus Midcap vs. Dreyfus Sp 500 | Dreyfus Midcap vs. Dreyfus International Stock | Dreyfus Midcap vs. Dreyfus Institutional Sp |
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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