Correlation Between DTF Tax and Advent Claymore
Can any of the company-specific risk be diversified away by investing in both DTF Tax and Advent Claymore 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 DTF Tax and Advent Claymore into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between DTF Tax Free and Advent Claymore Convertible, you can compare the effects of market volatilities on DTF Tax and Advent Claymore 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 DTF Tax with a short position of Advent Claymore. Check out your portfolio center. Please also check ongoing floating volatility patterns of DTF Tax and Advent Claymore.
Diversification Opportunities for DTF Tax and Advent Claymore
0.4 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between DTF and Advent is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding DTF Tax Free and Advent Claymore Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Advent Claymore Conv and DTF Tax 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 DTF Tax Free are associated (or correlated) with Advent Claymore. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Advent Claymore Conv has no effect on the direction of DTF Tax i.e., DTF Tax and Advent Claymore go up and down completely randomly.
Pair Corralation between DTF Tax and Advent Claymore
Considering the 90-day investment horizon DTF Tax is expected to generate 13.4 times less return on investment than Advent Claymore. But when comparing it to its historical volatility, DTF Tax Free is 1.42 times less risky than Advent Claymore. It trades about 0.08 of its potential returns per unit of risk. Advent Claymore Convertible is currently generating about 0.78 of returns per unit of risk over similar time horizon. If you would invest 1,105 in Advent Claymore Convertible on September 2, 2024 and sell it today you would earn a total of 113.00 from holding Advent Claymore Convertible or generate 10.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
DTF Tax Free vs. Advent Claymore Convertible
Performance |
| Timeline |
| DTF Tax Free |
| Advent Claymore Conv |
DTF Tax and Advent Claymore Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with DTF Tax and Advent Claymore
The main advantage of trading using opposite DTF Tax and Advent Claymore positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DTF Tax position performs unexpectedly, Advent Claymore 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 Advent Claymore will offset losses from the drop in Advent Claymore's long position.| DTF Tax vs. MFS Investment Grade | DTF Tax vs. Eaton Vance National | DTF Tax vs. Invesco High Income | DTF Tax vs. MFS High Yield |
| Advent Claymore vs. Nuveen Global High | Advent Claymore vs. Blackstone Gso Strategic | Advent Claymore vs. Thornburg Income Builder | Advent Claymore vs. Western Asset Diversified |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
Other Complementary Tools
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities |