Correlation Between Duff and Jensen Portfolio
Can any of the company-specific risk be diversified away by investing in both Duff and Jensen Portfolio 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 Duff and Jensen Portfolio into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Duff And Phelps and The Jensen Portfolio, you can compare the effects of market volatilities on Duff and Jensen Portfolio 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 Duff with a short position of Jensen Portfolio. Check out your portfolio center. Please also check ongoing floating volatility patterns of Duff and Jensen Portfolio.
Diversification Opportunities for Duff and Jensen Portfolio
-0.62 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Duff and Jensen is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding Duff And Phelps and The Jensen Portfolio in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jensen Portfolio and Duff 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 Duff And Phelps are associated (or correlated) with Jensen Portfolio. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jensen Portfolio has no effect on the direction of Duff i.e., Duff and Jensen Portfolio go up and down completely randomly.
Pair Corralation between Duff and Jensen Portfolio
Considering the 90-day investment horizon Duff And Phelps is expected to generate 0.41 times more return on investment than Jensen Portfolio. However, Duff And Phelps is 2.45 times less risky than Jensen Portfolio. It trades about 0.44 of its potential returns per unit of risk. The Jensen Portfolio is currently generating about -0.11 per unit of risk. If you would invest 1,140 in Duff And Phelps on September 1, 2024 and sell it today you would earn a total of 108.00 from holding Duff And Phelps or generate 9.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Duff And Phelps vs. The Jensen Portfolio
Performance |
| Timeline |
| Duff And Phelps |
| Jensen Portfolio |
Duff and Jensen Portfolio Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Duff and Jensen Portfolio
The main advantage of trading using opposite Duff and Jensen Portfolio positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Duff position performs unexpectedly, Jensen Portfolio 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 Jensen Portfolio will offset losses from the drop in Jensen Portfolio's long position.| Duff vs. BlackRock Health Sciences | Duff vs. Blackrock Enhanced Capital | Duff vs. Blackrock Resources Commodities | Duff vs. Cohen And Steers |
| Jensen Portfolio vs. Clipper Fund Inc | Jensen Portfolio vs. Parnassus E Equity | Jensen Portfolio vs. Mairs Power Growth | Jensen Portfolio vs. Sound Shore Fund |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Other Complementary Tools
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum |