Correlation Between NYSE Composite and Barclays ETN
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Barclays ETN 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 NYSE Composite and Barclays ETN into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Barclays ETN Shiller, you can compare the effects of market volatilities on NYSE Composite and Barclays ETN 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 NYSE Composite with a short position of Barclays ETN. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Barclays ETN.
Diversification Opportunities for NYSE Composite and Barclays ETN
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between NYSE and Barclays is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Barclays ETN Shiller in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Barclays ETN Shiller and NYSE Composite 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 NYSE Composite are associated (or correlated) with Barclays ETN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Barclays ETN Shiller has no effect on the direction of NYSE Composite i.e., NYSE Composite and Barclays ETN go up and down completely randomly.
Pair Corralation between NYSE Composite and Barclays ETN
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.87 times more return on investment than Barclays ETN. However, NYSE Composite is 1.15 times less risky than Barclays ETN. It trades about 0.28 of its potential returns per unit of risk. Barclays ETN Shiller is currently generating about 0.23 per unit of risk. If you would invest 1,926,142 in NYSE Composite on November 5, 2024 and sell it today you would earn a total of 73,740 from holding NYSE Composite or generate 3.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Barclays ETN Shiller
Performance |
| Timeline |
NYSE Composite and Barclays ETN Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Barclays ETN Shiller
Pair trading matchups for Barclays ETN
Pair Trading with NYSE Composite and Barclays ETN
The main advantage of trading using opposite NYSE Composite and Barclays ETN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Barclays ETN 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 Barclays ETN will offset losses from the drop in Barclays ETN's long position.| NYSE Composite vs. Aris Water Solutions | NYSE Composite vs. Marfrig Global Foods | NYSE Composite vs. CenterPoint Energy | NYSE Composite vs. Sysco |
| Barclays ETN vs. VanEck China Bond | Barclays ETN vs. Barclays ETN Select | Barclays ETN vs. SPDR SSGA Large | Barclays ETN vs. Freedom 100 Emerging |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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