Correlation Between Dreyfus Intermediate and Dreyfus Gnma
Can any of the company-specific risk be diversified away by investing in both Dreyfus Intermediate and Dreyfus Gnma 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 Intermediate and Dreyfus Gnma into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dreyfus Intermediate Municipal and Dreyfus Gnma Fund, you can compare the effects of market volatilities on Dreyfus Intermediate and Dreyfus Gnma 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 Intermediate with a short position of Dreyfus Gnma. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Intermediate and Dreyfus Gnma.
Diversification Opportunities for Dreyfus Intermediate and Dreyfus Gnma
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Dreyfus and Dreyfus is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Intermediate Municipal and Dreyfus Gnma Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dreyfus Gnma and Dreyfus Intermediate 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 Intermediate Municipal are associated (or correlated) with Dreyfus Gnma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dreyfus Gnma has no effect on the direction of Dreyfus Intermediate i.e., Dreyfus Intermediate and Dreyfus Gnma go up and down completely randomly.
Pair Corralation between Dreyfus Intermediate and Dreyfus Gnma
Assuming the 90 days horizon Dreyfus Intermediate is expected to generate 1.52 times less return on investment than Dreyfus Gnma. But when comparing it to its historical volatility, Dreyfus Intermediate Municipal is 1.8 times less risky than Dreyfus Gnma. It trades about 0.12 of its potential returns per unit of risk. Dreyfus Gnma Fund is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 1,229 in Dreyfus Gnma Fund on August 29, 2024 and sell it today you would earn a total of 53.00 from holding Dreyfus Gnma Fund or generate 4.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dreyfus Intermediate Municipal vs. Dreyfus Gnma Fund
Performance |
| Timeline |
| Dreyfus Intermediate |
| Dreyfus Gnma |
Dreyfus Intermediate and Dreyfus Gnma Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus Intermediate and Dreyfus Gnma
The main advantage of trading using opposite Dreyfus Intermediate and Dreyfus Gnma positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Intermediate position performs unexpectedly, Dreyfus Gnma 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 Gnma will offset losses from the drop in Dreyfus Gnma's long position.| Dreyfus Intermediate vs. Dreyfus Short Intermediate | Dreyfus Intermediate vs. Dreyfus Gnma Fund | Dreyfus Intermediate vs. Fidelity Municipal Income |
| Dreyfus Gnma vs. Touchstone Sands Capital | Dreyfus Gnma vs. T Rowe Price | Dreyfus Gnma vs. Arrow Managed Futures | Dreyfus Gnma vs. Shelton 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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