Correlation Between NYSE Composite and Jensen Quality
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Jensen Quality 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 Jensen Quality into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Jensen Quality Value, you can compare the effects of market volatilities on NYSE Composite and Jensen Quality 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 Jensen Quality. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Jensen Quality.
Diversification Opportunities for NYSE Composite and Jensen Quality
0.17 | Correlation Coefficient |
Average diversification
The 3 months correlation between NYSE and Jensen is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Jensen Quality Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jensen Quality 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 Jensen Quality. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jensen Quality Value has no effect on the direction of NYSE Composite i.e., NYSE Composite and Jensen Quality go up and down completely randomly.
Pair Corralation between NYSE Composite and Jensen Quality
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.82 times more return on investment than Jensen Quality. However, NYSE Composite is 1.23 times less risky than Jensen Quality. It trades about 0.08 of its potential returns per unit of risk. Jensen Quality Value is currently generating about 0.05 per unit of risk. If you would invest 1,547,479 in NYSE Composite on August 26, 2024 and sell it today you would earn a total of 464,866 from holding NYSE Composite or generate 30.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Jensen Quality Value
Performance |
| Timeline |
NYSE Composite and Jensen Quality Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Jensen Quality Value
Pair trading matchups for Jensen Quality
Pair Trading with NYSE Composite and Jensen Quality
The main advantage of trading using opposite NYSE Composite and Jensen Quality positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Jensen Quality 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 Jensen Quality will offset losses from the drop in Jensen Quality's long position.| NYSE Composite vs. Glacier Bancorp | NYSE Composite vs. LithiumBank Resources Corp | NYSE Composite vs. Stepstone Group | NYSE Composite vs. Pintec Technology Holdings |
| Jensen Quality vs. Applied Finance Explorer | Jensen Quality vs. Smead Value Fund | Jensen Quality vs. Heartland Mid Cap | Jensen Quality vs. Madison Dividend Income |
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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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