Correlation Between Old Westbury and Catalyst/millburn
Can any of the company-specific risk be diversified away by investing in both Old Westbury and Catalyst/millburn 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 Old Westbury and Catalyst/millburn into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Old Westbury Municipal and Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Old Westbury and Catalyst/millburn 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 Old Westbury with a short position of Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Old Westbury and Catalyst/millburn.
Diversification Opportunities for Old Westbury and Catalyst/millburn
0.17 | Correlation Coefficient |
Average diversification
The 3 months correlation between Old and Catalyst/millburn is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Old Westbury Municipal and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge and Old Westbury 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 Old Westbury Municipal are associated (or correlated) with Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Old Westbury i.e., Old Westbury and Catalyst/millburn go up and down completely randomly.
Pair Corralation between Old Westbury and Catalyst/millburn
Assuming the 90 days horizon Old Westbury is expected to generate 7.2 times less return on investment than Catalyst/millburn. But when comparing it to its historical volatility, Old Westbury Municipal is 4.14 times less risky than Catalyst/millburn. It trades about 0.03 of its potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 3,442 in Catalystmillburn Hedge Strategy on October 21, 2024 and sell it today you would earn a total of 563.00 from holding Catalystmillburn Hedge Strategy or generate 16.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Old Westbury Municipal vs. Catalystmillburn Hedge Strateg
Performance |
| Timeline |
| Old Westbury Municipal |
| Catalystmillburn Hedge |
Old Westbury and Catalyst/millburn Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Old Westbury and Catalyst/millburn
The main advantage of trading using opposite Old Westbury and Catalyst/millburn positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Old Westbury position performs unexpectedly, Catalyst/millburn 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 Catalyst/millburn will offset losses from the drop in Catalyst/millburn's long position.| Old Westbury vs. Stone Ridge Diversified | Old Westbury vs. Fulcrum Diversified Absolute | Old Westbury vs. Davenport Small Cap | Old Westbury vs. Wilmington Diversified Income |
| Catalyst/millburn vs. Virtus Seix Government | Catalyst/millburn vs. Gurtin California Muni | Catalyst/millburn vs. Ab Municipal Bond | Catalyst/millburn vs. Old Westbury 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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