Correlation Between Marcus and E Mini
Can any of the company-specific risk be diversified away by investing in both Marcus and E Mini 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 Marcus and E Mini into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Marcus and E Mini SP 500, you can compare the effects of market volatilities on Marcus and E Mini 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 Marcus with a short position of E Mini. Check out your portfolio center. Please also check ongoing floating volatility patterns of Marcus and E Mini.
Diversification Opportunities for Marcus and E Mini
Poor diversification
The 3 months correlation between Marcus and ESUSD is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Marcus and E Mini SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on E Mini SP and Marcus 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 Marcus are associated (or correlated) with E Mini. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of E Mini SP has no effect on the direction of Marcus i.e., Marcus and E Mini go up and down completely randomly.
Pair Corralation between Marcus and E Mini
Considering the 90-day investment horizon Marcus is expected to generate 2.58 times more return on investment than E Mini. However, Marcus is 2.58 times more volatile than E Mini SP 500. It trades about 0.3 of its potential returns per unit of risk. E Mini SP 500 is currently generating about 0.12 per unit of risk. If you would invest 1,026 in Marcus on September 1, 2024 and sell it today you would earn a total of 1,238 from holding Marcus or generate 120.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 96.18% |
| Values | Daily Returns |
Marcus vs. E Mini SP 500
Performance |
| Timeline |
| Marcus |
| E Mini SP |
Marcus and E Mini Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Marcus and E Mini
The main advantage of trading using opposite Marcus and E Mini positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Marcus position performs unexpectedly, E Mini 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 E Mini will offset losses from the drop in E Mini's long position.| Marcus vs. ADTRAN Inc | Marcus vs. Belden Inc | Marcus vs. ADC Therapeutics SA | Marcus vs. Comtech Telecommunications Corp |
| E Mini vs. 2 Year T Note Futures | E Mini vs. Heating Oil | E Mini vs. Crude Oil | E Mini vs. Aluminum Futures |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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