Correlation Between NYSE Composite and Real Return
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Real Return 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 Real Return into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Real Return Fund, you can compare the effects of market volatilities on NYSE Composite and Real Return 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 Real Return. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Real Return.
Diversification Opportunities for NYSE Composite and Real Return
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between NYSE and Real is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Real Return Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Real Return 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 Real Return. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Real Return Fund has no effect on the direction of NYSE Composite i.e., NYSE Composite and Real Return go up and down completely randomly.
Pair Corralation between NYSE Composite and Real Return
Assuming the 90 days trading horizon NYSE Composite is expected to generate 2.1 times more return on investment than Real Return. However, NYSE Composite is 2.1 times more volatile than Real Return Fund. It trades about -0.01 of its potential returns per unit of risk. Real Return Fund is currently generating about -0.08 per unit of risk. If you would invest 1,981,455 in NYSE Composite on September 13, 2024 and sell it today you would lose (4,546) from holding NYSE Composite or give up 0.23% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Real Return Fund
Performance |
| Timeline |
NYSE Composite and Real Return Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Real Return Fund
Pair trading matchups for Real Return
Pair Trading with NYSE Composite and Real Return
The main advantage of trading using opposite NYSE Composite and Real Return positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Real Return 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 Real Return will offset losses from the drop in Real Return's long position.| NYSE Composite vs. Boston Beer | NYSE Composite vs. Freedom Bank of | NYSE Composite vs. KeyCorp | NYSE Composite vs. LithiumBank Resources Corp |
| Real Return vs. Goldman Sachs Inflation | Real Return vs. Schwab Treasury Inflation | Real Return vs. Guidepath Managed Futures | Real Return vs. Simt Multi Asset Inflation |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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