Correlation Between Multisector Bond and All Asset
Can any of the company-specific risk be diversified away by investing in both Multisector Bond and All Asset 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 Multisector Bond and All Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multisector Bond Sma and All Asset Fund, you can compare the effects of market volatilities on Multisector Bond and All Asset 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 Multisector Bond with a short position of All Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multisector Bond and All Asset.
Diversification Opportunities for Multisector Bond and All Asset
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Multisector and All is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Multisector Bond Sma and All Asset Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on All Asset Fund and Multisector Bond 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 Multisector Bond Sma are associated (or correlated) with All Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of All Asset Fund has no effect on the direction of Multisector Bond i.e., Multisector Bond and All Asset go up and down completely randomly.
Pair Corralation between Multisector Bond and All Asset
Assuming the 90 days horizon Multisector Bond is expected to generate 1.91 times less return on investment than All Asset. But when comparing it to its historical volatility, Multisector Bond Sma is 1.56 times less risky than All Asset. It trades about 0.2 of its potential returns per unit of risk. All Asset Fund is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 1,102 in All Asset Fund on November 27, 2024 and sell it today you would earn a total of 17.00 from holding All Asset Fund or generate 1.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Multisector Bond Sma vs. All Asset Fund
Performance |
| Timeline |
| Multisector Bond Sma |
| All Asset Fund |
Multisector Bond and All Asset Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Multisector Bond and All Asset
The main advantage of trading using opposite Multisector Bond and All Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multisector Bond position performs unexpectedly, All Asset 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 All Asset will offset losses from the drop in All Asset's long position.| Multisector Bond vs. Jhancock Diversified Macro | Multisector Bond vs. Goldman Sachs Emerging | Multisector Bond vs. Legg Mason Western | Multisector Bond vs. Barings Emerging Markets |
| All Asset vs. Virtus Convertible | All Asset vs. Rationalpier 88 Convertible | All Asset vs. Columbia Convertible Securities | All Asset vs. Harbor Vertible Securities |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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