Correlation Between NYSE Composite and Classic Value
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Classic 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 Classic 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 Classic Value Fund, you can compare the effects of market volatilities on NYSE Composite and Classic 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 Classic Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Classic Value.
Diversification Opportunities for NYSE Composite and Classic Value
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between NYSE and Classic is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Classic Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Classic Value 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 Classic Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Classic Value has no effect on the direction of NYSE Composite i.e., NYSE Composite and Classic Value go up and down completely randomly.
Pair Corralation between NYSE Composite and Classic Value
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.74 times less return on investment than Classic Value. But when comparing it to its historical volatility, NYSE Composite is 1.93 times less risky than Classic Value. It trades about 0.24 of its potential returns per unit of risk. Classic Value Fund is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 3,592 in Classic Value Fund on August 26, 2024 and sell it today you would earn a total of 213.00 from holding Classic Value Fund or generate 5.93% 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. Classic Value Fund
Performance |
| Timeline |
NYSE Composite and Classic Value Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Classic Value Fund
Pair trading matchups for Classic Value
Pair Trading with NYSE Composite and Classic Value
The main advantage of trading using opposite NYSE Composite and Classic Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Classic 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 Classic Value will offset losses from the drop in Classic Value's long position.| NYSE Composite vs. Grocery Outlet Holding | NYSE Composite vs. Tencent Music Entertainment | NYSE Composite vs. SunLink Health Systems | NYSE Composite vs. Getty Realty |
| Classic Value vs. Regional Bank Fund | Classic Value vs. Regional Bank Fund | Classic Value vs. Multimanager Lifestyle Moderate | Classic Value vs. Multimanager Lifestyle Balanced |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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