Correlation Between NYSE Composite and Penumbra
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Penumbra 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 Penumbra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Penumbra, you can compare the effects of market volatilities on NYSE Composite and Penumbra 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 Penumbra. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Penumbra.
Diversification Opportunities for NYSE Composite and Penumbra
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between NYSE and Penumbra is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Penumbra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Penumbra 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 Penumbra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Penumbra has no effect on the direction of NYSE Composite i.e., NYSE Composite and Penumbra go up and down completely randomly.
Pair Corralation between NYSE Composite and Penumbra
Assuming the 90 days trading horizon NYSE Composite is expected to generate 0.3 times more return on investment than Penumbra. However, NYSE Composite is 3.31 times less risky than Penumbra. It trades about 0.08 of its potential returns per unit of risk. Penumbra is currently generating about 0.02 per unit of risk. If you would invest 1,531,179 in NYSE Composite on August 28, 2024 and sell it today you would earn a total of 490,857 from holding NYSE Composite or generate 32.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Penumbra
Performance |
| Timeline |
NYSE Composite and Penumbra Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Penumbra
Pair trading matchups for Penumbra
Pair Trading with NYSE Composite and Penumbra
The main advantage of trading using opposite NYSE Composite and Penumbra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Penumbra 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 Penumbra will offset losses from the drop in Penumbra's long position.| NYSE Composite vs. Hooker Furniture | NYSE Composite vs. Hudson Pacific Properties | NYSE Composite vs. Canlan Ice Sports | NYSE Composite vs. Boston Properties |
| Penumbra vs. Insulet | Penumbra vs. TransMedics Group | Penumbra vs. Masimo | Penumbra vs. Inspire Medical Systems |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
Other Complementary Tools
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes |