Correlation Between Western Asset and Virtus Global
Can any of the company-specific risk be diversified away by investing in both Western Asset and Virtus Global 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 Western Asset and Virtus Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Mortgage and Virtus Global Multi, you can compare the effects of market volatilities on Western Asset and Virtus Global 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 Western Asset with a short position of Virtus Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Virtus Global.
Diversification Opportunities for Western Asset and Virtus Global
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Western and Virtus is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Mortgage and Virtus Global Multi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Global Multi and Western Asset 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 Western Asset Mortgage are associated (or correlated) with Virtus Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Global Multi has no effect on the direction of Western Asset i.e., Western Asset and Virtus Global go up and down completely randomly.
Pair Corralation between Western Asset and Virtus Global
Considering the 90-day investment horizon Western Asset is expected to generate 1.47 times less return on investment than Virtus Global. But when comparing it to its historical volatility, Western Asset Mortgage is 1.02 times less risky than Virtus Global. It trades about 0.15 of its potential returns per unit of risk. Virtus Global Multi is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 696.00 in Virtus Global Multi on August 24, 2024 and sell it today you would earn a total of 93.00 from holding Virtus Global Multi or generate 13.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Mortgage vs. Virtus Global Multi
Performance |
| Timeline |
| Western Asset Mortgage |
| Virtus Global Multi |
Western Asset and Virtus Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Virtus Global
The main advantage of trading using opposite Western Asset and Virtus Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Virtus Global 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 Virtus Global will offset losses from the drop in Virtus Global's long position.| Western Asset vs. Tekla Healthcare Investors | Western Asset vs. Blackrock Enhanced Capital | Western Asset vs. Tekla Life Sciences | Western Asset vs. Nuveen New York |
| Virtus Global vs. Western Asset Global | Virtus Global vs. Western Asset High | Virtus Global vs. Voya Global Equity | Virtus Global vs. Western Asset Mortgage |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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