Correlation Between Large Cap and Cohen Steers
Can any of the company-specific risk be diversified away by investing in both Large Cap and Cohen Steers 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 Large Cap and Cohen Steers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Large Cap Fund and Cohen Steers Realty, you can compare the effects of market volatilities on Large Cap and Cohen Steers 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 Large Cap with a short position of Cohen Steers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Large Cap and Cohen Steers.
Diversification Opportunities for Large Cap and Cohen Steers
-0.05 | Correlation Coefficient |
Good diversification
The 3 months correlation between Large and Cohen is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Fund and Cohen Steers Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cohen Steers Realty and Large Cap 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 Large Cap Fund are associated (or correlated) with Cohen Steers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cohen Steers Realty has no effect on the direction of Large Cap i.e., Large Cap and Cohen Steers go up and down completely randomly.
Pair Corralation between Large Cap and Cohen Steers
Assuming the 90 days horizon Large Cap is expected to generate 1.51 times less return on investment than Cohen Steers. But when comparing it to its historical volatility, Large Cap Fund is 1.05 times less risky than Cohen Steers. It trades about 0.06 of its potential returns per unit of risk. Cohen Steers Realty is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 5,836 in Cohen Steers Realty on August 26, 2024 and sell it today you would earn a total of 1,230 from holding Cohen Steers Realty or generate 21.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Large Cap Fund vs. Cohen Steers Realty
Performance |
| Timeline |
| Large Cap Fund |
| Cohen Steers Realty |
Large Cap and Cohen Steers Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Large Cap and Cohen Steers
The main advantage of trading using opposite Large Cap and Cohen Steers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Large Cap position performs unexpectedly, Cohen Steers 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 Cohen Steers will offset losses from the drop in Cohen Steers' long position.| Large Cap vs. Wasatch Large Cap | Large Cap vs. Loomis Sayles Bond | Large Cap vs. Harbor International Fund | Large Cap vs. Equity Series Class |
| Cohen Steers vs. Commodityrealreturn Strategy Fund | Cohen Steers vs. Oakmark International Fund | Cohen Steers vs. Third Avenue Real | Cohen Steers vs. Large Cap 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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