Correlation Between Catalyst/millburn and Rational/pier
Can any of the company-specific risk be diversified away by investing in both Catalyst/millburn and Rational/pier 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 Catalyst/millburn and Rational/pier into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Catalystmillburn Hedge Strategy and Rationalpier 88 Convertible, you can compare the effects of market volatilities on Catalyst/millburn and Rational/pier 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 Catalyst/millburn with a short position of Rational/pier. Check out your portfolio center. Please also check ongoing floating volatility patterns of Catalyst/millburn and Rational/pier.
Diversification Opportunities for Catalyst/millburn and Rational/pier
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Catalyst/millburn and Rational/pier is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Catalystmillburn Hedge Strateg and Rationalpier 88 Convertible in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Rationalpier 88 Conv and Catalyst/millburn 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 Catalystmillburn Hedge Strategy are associated (or correlated) with Rational/pier. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Rationalpier 88 Conv has no effect on the direction of Catalyst/millburn i.e., Catalyst/millburn and Rational/pier go up and down completely randomly.
Pair Corralation between Catalyst/millburn and Rational/pier
Assuming the 90 days horizon Catalystmillburn Hedge Strategy is expected to generate 1.39 times more return on investment than Rational/pier. However, Catalyst/millburn is 1.39 times more volatile than Rationalpier 88 Convertible. It trades about -0.13 of its potential returns per unit of risk. Rationalpier 88 Convertible is currently generating about -0.26 per unit of risk. If you would invest 4,014 in Catalystmillburn Hedge Strategy on October 10, 2024 and sell it today you would lose (94.00) from holding Catalystmillburn Hedge Strategy or give up 2.34% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Catalystmillburn Hedge Strateg vs. Rationalpier 88 Convertible
Performance |
| Timeline |
| Catalystmillburn Hedge |
| Rationalpier 88 Conv |
Catalyst/millburn and Rational/pier Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Catalyst/millburn and Rational/pier
The main advantage of trading using opposite Catalyst/millburn and Rational/pier positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Catalyst/millburn position performs unexpectedly, Rational/pier 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 Rational/pier will offset losses from the drop in Rational/pier's long position.| Catalyst/millburn vs. Calvert High Yield | Catalyst/millburn vs. Federated High Yield | Catalyst/millburn vs. Multi Manager High Yield | Catalyst/millburn vs. Artisan High Income |
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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