Correlation Between Multi-manager High and Catalyst/millburn
Can any of the company-specific risk be diversified away by investing in both Multi-manager High and Catalyst/millburn 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 High and Catalyst/millburn 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 Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Multi-manager High and Catalyst/millburn 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 High with a short position of Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi-manager High and Catalyst/millburn.
Diversification Opportunities for Multi-manager High and Catalyst/millburn
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Multi-manager and Catalyst/millburn is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager High Yield and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge and Multi-manager High 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 Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Multi-manager High i.e., Multi-manager High and Catalyst/millburn go up and down completely randomly.
Pair Corralation between Multi-manager High and Catalyst/millburn
Assuming the 90 days horizon Multi Manager High Yield is expected to generate 0.19 times more return on investment than Catalyst/millburn. However, Multi Manager High Yield is 5.39 times less risky than Catalyst/millburn. It trades about -0.11 of its potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about -0.13 per unit of risk. If you would invest 844.00 in Multi Manager High Yield on October 11, 2024 and sell it today you would lose (3.00) from holding Multi Manager High Yield or give up 0.36% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Multi Manager High Yield vs. Catalystmillburn Hedge Strateg
Performance |
| Timeline |
| Multi Manager High |
| Catalystmillburn Hedge |
Multi-manager High and Catalyst/millburn Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Multi-manager High and Catalyst/millburn
The main advantage of trading using opposite Multi-manager High and Catalyst/millburn positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multi-manager High position performs unexpectedly, Catalyst/millburn 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 Catalyst/millburn will offset losses from the drop in Catalyst/millburn's long position.| Multi-manager High vs. Legg Mason Global | Multi-manager High vs. Mirova Global Green | Multi-manager High vs. Alliancebernstein Global Highome | Multi-manager High vs. Artisan Global Opportunities |
| Catalyst/millburn vs. Northern Small Cap | Catalyst/millburn vs. Guggenheim Diversified Income | Catalyst/millburn vs. Small Cap Stock | Catalyst/millburn vs. Jhancock Diversified Macro |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
Other Complementary Tools
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Money Managers Screen money managers from public funds and ETFs managed around the world |