Correlation Between Floating Rate and Virtus High
Can any of the company-specific risk be diversified away by investing in both Floating Rate and Virtus High 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 Floating Rate and Virtus High into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Floating Rate Fund and Virtus High Yield, you can compare the effects of market volatilities on Floating Rate and Virtus High 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 Floating Rate with a short position of Virtus High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Floating Rate and Virtus High.
Diversification Opportunities for Floating Rate and Virtus High
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Floating and Virtus is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Floating Rate Fund and Virtus High Yield in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus High Yield and Floating Rate 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 Floating Rate Fund are associated (or correlated) with Virtus High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus High Yield has no effect on the direction of Floating Rate i.e., Floating Rate and Virtus High go up and down completely randomly.
Pair Corralation between Floating Rate and Virtus High
Assuming the 90 days horizon Floating Rate is expected to generate 1.21 times less return on investment than Virtus High. But when comparing it to its historical volatility, Floating Rate Fund is 1.55 times less risky than Virtus High. It trades about 0.32 of its potential returns per unit of risk. Virtus High Yield is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 384.00 in Virtus High Yield on October 29, 2024 and sell it today you would earn a total of 4.00 from holding Virtus High Yield or generate 1.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Floating Rate Fund vs. Virtus High Yield
Performance |
| Timeline |
| Floating Rate |
| Virtus High Yield |
Floating Rate and Virtus High Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Floating Rate and Virtus High
The main advantage of trading using opposite Floating Rate and Virtus High positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Floating Rate position performs unexpectedly, Virtus High 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 Virtus High will offset losses from the drop in Virtus High's long position.| Floating Rate vs. Columbia Convertible Securities | Floating Rate vs. Gabelli Convertible And | Floating Rate vs. Advent Claymore Convertible | Floating Rate vs. Allianzgi Convertible Income |
| Virtus High vs. Virtus Convertible | Virtus High vs. Allianzgi Convertible Income | Virtus High vs. Columbia Convertible Securities | Virtus High vs. Calamos Dynamic Convertible |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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