Correlation Between NYSE Composite and PIMCO RAFI
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and PIMCO RAFI 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 PIMCO RAFI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and PIMCO RAFI Dynamic, you can compare the effects of market volatilities on NYSE Composite and PIMCO RAFI 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 PIMCO RAFI. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and PIMCO RAFI.
Diversification Opportunities for NYSE Composite and PIMCO RAFI
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between NYSE and PIMCO is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and PIMCO RAFI Dynamic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PIMCO RAFI Dynamic 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 PIMCO RAFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PIMCO RAFI Dynamic has no effect on the direction of NYSE Composite i.e., NYSE Composite and PIMCO RAFI go up and down completely randomly.
Pair Corralation between NYSE Composite and PIMCO RAFI
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.15 times less return on investment than PIMCO RAFI. But when comparing it to its historical volatility, NYSE Composite is 1.17 times less risky than PIMCO RAFI. It trades about 0.18 of its potential returns per unit of risk. PIMCO RAFI Dynamic is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 4,994 in PIMCO RAFI Dynamic on September 3, 2024 and sell it today you would earn a total of 261.00 from holding PIMCO RAFI Dynamic or generate 5.23% 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. PIMCO RAFI Dynamic
Performance |
| Timeline |
NYSE Composite and PIMCO RAFI Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
PIMCO RAFI Dynamic
Pair trading matchups for PIMCO RAFI
Pair Trading with NYSE Composite and PIMCO RAFI
The main advantage of trading using opposite NYSE Composite and PIMCO RAFI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, PIMCO RAFI 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 PIMCO RAFI will offset losses from the drop in PIMCO RAFI's long position.| NYSE Composite vs. Lindblad Expeditions Holdings | NYSE Composite vs. LB Foster | NYSE Composite vs. HUTCHMED DRC | NYSE Composite vs. Bridgford Foods |
| PIMCO RAFI vs. Global X Funds | PIMCO RAFI vs. Dell Technologies | PIMCO RAFI vs. Juniper Networks | PIMCO RAFI vs. HUMANA INC |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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