Correlation Between Lumia and Dfa -
Can any of the company-specific risk be diversified away by investing in both Lumia and Dfa - 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 Lumia and Dfa - into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lumia and Dfa Small, you can compare the effects of market volatilities on Lumia and Dfa - 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 Lumia with a short position of Dfa -. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lumia and Dfa -.
Diversification Opportunities for Lumia and Dfa -
Good diversification
The 3 months correlation between Lumia and Dfa is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding Lumia and Dfa Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dfa Small and Lumia 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 Lumia are associated (or correlated) with Dfa -. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dfa Small has no effect on the direction of Lumia i.e., Lumia and Dfa - go up and down completely randomly.
Pair Corralation between Lumia and Dfa -
Assuming the 90 days trading horizon Lumia is expected to generate 41.58 times more return on investment than Dfa -. However, Lumia is 41.58 times more volatile than Dfa Small. It trades about 0.04 of its potential returns per unit of risk. Dfa Small is currently generating about 0.07 per unit of risk. If you would invest 0.00 in Lumia on November 1, 2024 and sell it today you would earn a total of 91.00 from holding Lumia or generate 9.223372036854776E16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 96.34% |
| Values | Daily Returns |
Lumia vs. Dfa Small
Performance |
| Timeline |
| Lumia |
| Dfa Small |
Lumia and Dfa - Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lumia and Dfa -
The main advantage of trading using opposite Lumia and Dfa - positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lumia position performs unexpectedly, Dfa - 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 Dfa - will offset losses from the drop in Dfa -'s long position.The idea behind Lumia and Dfa Small pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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