Correlation Between NYSE Composite and Siit Large
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Siit Large 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 Siit Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Siit Large Cap, you can compare the effects of market volatilities on NYSE Composite and Siit Large 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 Siit Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Siit Large.
Diversification Opportunities for NYSE Composite and Siit Large
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between NYSE and Siit is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Siit Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Large Cap 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 Siit Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Large Cap has no effect on the direction of NYSE Composite i.e., NYSE Composite and Siit Large go up and down completely randomly.
Pair Corralation between NYSE Composite and Siit Large
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.08 times less return on investment than Siit Large. But when comparing it to its historical volatility, NYSE Composite is 1.2 times less risky than Siit Large. It trades about 0.24 of its potential returns per unit of risk. Siit Large Cap is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 1,251 in Siit Large Cap on August 28, 2024 and sell it today you would earn a total of 46.00 from holding Siit Large Cap or generate 3.68% 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. Siit Large Cap
Performance |
| Timeline |
NYSE Composite and Siit Large Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Siit Large Cap
Pair trading matchups for Siit Large
Pair Trading with NYSE Composite and Siit Large
The main advantage of trading using opposite NYSE Composite and Siit Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Siit Large 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 Siit Large will offset losses from the drop in Siit Large'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 |
| Siit Large vs. Metropolitan West Porate | Siit Large vs. Multisector Bond Sma | Siit Large vs. Versatile Bond Portfolio | Siit Large vs. Nuveen All American Municipal |
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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