Correlation Between Multi Manager and Short Duration
Can any of the company-specific risk be diversified away by investing in both Multi Manager and Short Duration 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 Multi Manager and Short Duration into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multi Manager High Yield and Short Duration Plus, you can compare the effects of market volatilities on Multi Manager and Short Duration 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 Multi Manager with a short position of Short Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi Manager and Short Duration.
Diversification Opportunities for Multi Manager and Short Duration
0.0 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Multi and Short is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager High Yield and Short Duration Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Short Duration Plus and Multi Manager 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 Multi Manager High Yield are associated (or correlated) with Short Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Short Duration Plus has no effect on the direction of Multi Manager i.e., Multi Manager and Short Duration go up and down completely randomly.
Pair Corralation between Multi Manager and Short Duration
Assuming the 90 days horizon Multi Manager High Yield is expected to generate 1.24 times more return on investment than Short Duration. However, Multi Manager is 1.24 times more volatile than Short Duration Plus. It trades about 0.15 of its potential returns per unit of risk. Short Duration Plus is currently generating about 0.04 per unit of risk. If you would invest 713.00 in Multi Manager High Yield on August 25, 2024 and sell it today you would earn a total of 139.00 from holding Multi Manager High Yield or generate 19.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Flat |
| Strength | Insignificant |
| Accuracy | 32.06% |
| Values | Daily Returns |
Multi Manager High Yield vs. Short Duration Plus
Performance |
| Timeline |
| Multi Manager High |
| Short Duration Plus |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Multi Manager and Short Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Multi Manager and Short Duration
The main advantage of trading using opposite Multi Manager and Short Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multi Manager position performs unexpectedly, Short Duration 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 Short Duration will offset losses from the drop in Short Duration's long position.| Multi Manager vs. Northern Bond Index | Multi Manager vs. Northern E Bond | Multi Manager vs. Northern Arizona Tax Exempt | Multi Manager vs. Northern Emerging Markets |
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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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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