Correlation Between Quantitative Longshort and Bright Rock
Can any of the company-specific risk be diversified away by investing in both Quantitative Longshort and Bright Rock 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 Quantitative Longshort and Bright Rock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Quantitative Longshort Equity and Bright Rock Mid, you can compare the effects of market volatilities on Quantitative Longshort and Bright Rock 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 Quantitative Longshort with a short position of Bright Rock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Quantitative Longshort and Bright Rock.
Diversification Opportunities for Quantitative Longshort and Bright Rock
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Quantitative and Bright is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity and Bright Rock Mid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bright Rock Mid and Quantitative Longshort 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 Quantitative Longshort Equity are associated (or correlated) with Bright Rock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bright Rock Mid has no effect on the direction of Quantitative Longshort i.e., Quantitative Longshort and Bright Rock go up and down completely randomly.
Pair Corralation between Quantitative Longshort and Bright Rock
Assuming the 90 days horizon Quantitative Longshort is expected to generate 1.37 times less return on investment than Bright Rock. But when comparing it to its historical volatility, Quantitative Longshort Equity is 2.53 times less risky than Bright Rock. It trades about 0.1 of its potential returns per unit of risk. Bright Rock Mid is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 2,211 in Bright Rock Mid on September 1, 2024 and sell it today you would earn a total of 545.00 from holding Bright Rock Mid or generate 24.65% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.8% |
| Values | Daily Returns |
Quantitative Longshort Equity vs. Bright Rock Mid
Performance |
| Timeline |
| Quantitative Longshort |
| Bright Rock Mid |
Quantitative Longshort and Bright Rock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Quantitative Longshort and Bright Rock
The main advantage of trading using opposite Quantitative Longshort and Bright Rock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Quantitative Longshort position performs unexpectedly, Bright Rock 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 Bright Rock will offset losses from the drop in Bright Rock's long position.| Quantitative Longshort vs. Metropolitan West High | Quantitative Longshort vs. Pioneer High Yield | Quantitative Longshort vs. Western Asset High | Quantitative Longshort vs. Franklin High Income |
| Bright Rock vs. Quantitative Longshort Equity | Bright Rock vs. Old Westbury Short Term | Bright Rock vs. Franklin Federal Limited Term | Bright Rock vs. Aqr Sustainable Long Short |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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