Correlation Between Grant Park and Dunham Large
Can any of the company-specific risk be diversified away by investing in both Grant Park and Dunham Large 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 Grant Park and Dunham Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Grant Park Multi and Dunham Large Cap, you can compare the effects of market volatilities on Grant Park and Dunham Large 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 Grant Park with a short position of Dunham Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grant Park and Dunham Large.
Diversification Opportunities for Grant Park and Dunham Large
-0.56 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Grant and Dunham is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi and Dunham Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dunham Large Cap and Grant Park 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 Grant Park Multi are associated (or correlated) with Dunham Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dunham Large Cap has no effect on the direction of Grant Park i.e., Grant Park and Dunham Large go up and down completely randomly.
Pair Corralation between Grant Park and Dunham Large
Assuming the 90 days horizon Grant Park Multi is expected to generate 0.59 times more return on investment than Dunham Large. However, Grant Park Multi is 1.69 times less risky than Dunham Large. It trades about 0.25 of its potential returns per unit of risk. Dunham Large Cap is currently generating about -0.17 per unit of risk. If you would invest 1,065 in Grant Park Multi on September 12, 2024 and sell it today you would earn a total of 14.00 from holding Grant Park Multi or generate 1.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Grant Park Multi vs. Dunham Large Cap
Performance |
| Timeline |
| Grant Park Multi |
| Dunham Large Cap |
Grant Park and Dunham Large Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Grant Park and Dunham Large
The main advantage of trading using opposite Grant Park and Dunham Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Grant Park position performs unexpectedly, Dunham Large 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 Dunham Large will offset losses from the drop in Dunham Large's long position.| Grant Park vs. Pimco Trends Managed | Grant Park vs. Pimco Trends Managed | Grant Park vs. SCOR PK | Grant Park vs. Morningstar Unconstrained Allocation |
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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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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