Correlation Between NYSE Composite and The Value
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and The Value 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 The Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and The Value Fund, you can compare the effects of market volatilities on NYSE Composite and The Value 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 The Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and The Value.
Diversification Opportunities for NYSE Composite and The Value
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between NYSE and The is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and The Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Fund 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 The Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Fund has no effect on the direction of NYSE Composite i.e., NYSE Composite and The Value go up and down completely randomly.
Pair Corralation between NYSE Composite and The Value
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.8 times more return on investment than The Value. However, NYSE Composite is 1.24 times less risky than The Value. It trades about 0.42 of its potential returns per unit of risk. The Value Fund is currently generating about 0.31 per unit of risk. If you would invest 1,923,895 in NYSE Composite on September 1, 2024 and sell it today you would earn a total of 103,309 from holding NYSE Composite or generate 5.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. The Value Fund
Performance |
| Timeline |
NYSE Composite and The Value Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
The Value Fund
Pair trading matchups for The Value
Pair Trading with NYSE Composite and The Value
The main advantage of trading using opposite NYSE Composite and The Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, The Value 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 The Value will offset losses from the drop in The Value's long position.| NYSE Composite vs. Acumen Pharmaceuticals | NYSE Composite vs. Mind Medicine | NYSE Composite vs. NL Industries | NYSE Composite vs. Ecovyst |
| The Value vs. Cullen High Dividend | The Value vs. Lazard Global Listed | The Value vs. The Bond Fund | The Value vs. Aquagold International |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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