Correlation Between NYSE Composite and Us Government
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Us Government 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 Us Government into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Us Government Securities, you can compare the effects of market volatilities on NYSE Composite and Us Government 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 Us Government. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Us Government.
Diversification Opportunities for NYSE Composite and Us Government
-0.61 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between NYSE and UGSCX is -0.61. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Us Government Securities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Us Government Securities 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 Us Government. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Us Government Securities has no effect on the direction of NYSE Composite i.e., NYSE Composite and Us Government go up and down completely randomly.
Pair Corralation between NYSE Composite and Us Government
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.84 times more return on investment than Us Government. However, NYSE Composite is 1.84 times more volatile than Us Government Securities. It trades about 0.14 of its potential returns per unit of risk. Us Government Securities is currently generating about 0.04 per unit of risk. If you would invest 1,592,915 in NYSE Composite on August 24, 2024 and sell it today you would earn a total of 403,915 from holding NYSE Composite or generate 25.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Us Government Securities
Performance |
| Timeline |
NYSE Composite and Us Government Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Us Government Securities
Pair trading matchups for Us Government
Pair Trading with NYSE Composite and Us Government
The main advantage of trading using opposite NYSE Composite and Us Government positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Us Government 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 Us Government will offset losses from the drop in Us Government's long position.| NYSE Composite vs. Awilco Drilling PLC | NYSE Composite vs. AKITA Drilling | NYSE Composite vs. SunOpta | NYSE Composite vs. Delek Drilling |
| Us Government vs. Aqr Long Short Equity | Us Government vs. Quantitative Longshort Equity | Us Government vs. Touchstone Ultra Short | Us Government vs. Nuveen Short Term |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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