Correlation Between The Jensen and Transamerica International
Can any of the company-specific risk be diversified away by investing in both The Jensen and Transamerica International 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 The Jensen and Transamerica International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Jensen Portfolio and Transamerica International Equity, you can compare the effects of market volatilities on The Jensen and Transamerica International 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 The Jensen with a short position of Transamerica International. Check out your portfolio center. Please also check ongoing floating volatility patterns of The Jensen and Transamerica International.
Diversification Opportunities for The Jensen and Transamerica International
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between The and Transamerica is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding The Jensen Portfolio and Transamerica International Equ in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transamerica International and The Jensen 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 The Jensen Portfolio are associated (or correlated) with Transamerica International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transamerica International has no effect on the direction of The Jensen i.e., The Jensen and Transamerica International go up and down completely randomly.
Pair Corralation between The Jensen and Transamerica International
Assuming the 90 days horizon The Jensen Portfolio is expected to under-perform the Transamerica International. In addition to that, The Jensen is 1.19 times more volatile than Transamerica International Equity. It trades about -0.04 of its total potential returns per unit of risk. Transamerica International Equity is currently generating about 0.02 per unit of volatility. If you would invest 2,087 in Transamerica International Equity on October 26, 2024 and sell it today you would earn a total of 26.00 from holding Transamerica International Equity or generate 1.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Jensen Portfolio vs. Transamerica International Equ
Performance |
| Timeline |
| Jensen Portfolio |
| Transamerica International |
The Jensen and Transamerica International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with The Jensen and Transamerica International
The main advantage of trading using opposite The Jensen and Transamerica International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if The Jensen position performs unexpectedly, Transamerica International 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 Transamerica International will offset losses from the drop in Transamerica International's long position.| The Jensen vs. Transamerica International Equity | The Jensen vs. Locorr Dynamic Equity | The Jensen vs. Artisan Select Equity | The Jensen vs. Aqr Long Short Equity |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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