Correlation Between First Trust and Barclays ETN
Can any of the company-specific risk be diversified away by investing in both First Trust and Barclays ETN 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 First Trust and Barclays ETN into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between First Trust Value and Barclays ETN Shiller, you can compare the effects of market volatilities on First Trust and Barclays ETN 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 First Trust with a short position of Barclays ETN. Check out your portfolio center. Please also check ongoing floating volatility patterns of First Trust and Barclays ETN.
Diversification Opportunities for First Trust and Barclays ETN
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between First and Barclays is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Value and Barclays ETN Shiller in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Barclays ETN Shiller and First Trust 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 First Trust Value are associated (or correlated) with Barclays ETN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays ETN Shiller has no effect on the direction of First Trust i.e., First Trust and Barclays ETN go up and down completely randomly.
Pair Corralation between First Trust and Barclays ETN
Considering the 90-day investment horizon First Trust is expected to generate 2.15 times less return on investment than Barclays ETN. But when comparing it to its historical volatility, First Trust Value is 1.23 times less risky than Barclays ETN. It trades about 0.04 of its potential returns per unit of risk. Barclays ETN Shiller is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 2,300 in Barclays ETN Shiller on October 25, 2024 and sell it today you would earn a total of 706.00 from holding Barclays ETN Shiller or generate 30.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
First Trust Value vs. Barclays ETN Shiller
Performance |
| Timeline |
| First Trust Value |
| Barclays ETN Shiller |
First Trust and Barclays ETN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with First Trust and Barclays ETN
The main advantage of trading using opposite First Trust and Barclays ETN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if First Trust position performs unexpectedly, Barclays ETN 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 Barclays ETN will offset losses from the drop in Barclays ETN's long position.| First Trust vs. First Trust Morningstar | First Trust vs. First Trust Rising | First Trust vs. First Trust Capital | First Trust vs. WisdomTree LargeCap Dividend |
| Barclays ETN vs. VanEck China Bond | Barclays ETN vs. Barclays ETN Select | Barclays ETN vs. SPDR SSGA Large | Barclays ETN vs. Freedom 100 Emerging |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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