Correlation Between Pimco Extended and Virtus Dfa

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Can any of the company-specific risk be diversified away by investing in both Pimco Extended and Virtus Dfa 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 Pimco Extended and Virtus Dfa into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pimco Extended Duration and Virtus Dfa 2040, you can compare the effects of market volatilities on Pimco Extended and Virtus Dfa 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 Pimco Extended with a short position of Virtus Dfa. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Extended and Virtus Dfa.

Diversification Opportunities for Pimco Extended and Virtus Dfa

-0.4
  Correlation Coefficient

Very good diversification

The 3 months correlation between Pimco and Virtus is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Extended Duration and Virtus Dfa 2040 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Dfa 2040 and Pimco Extended 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 Pimco Extended Duration are associated (or correlated) with Virtus Dfa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Dfa 2040 has no effect on the direction of Pimco Extended i.e., Pimco Extended and Virtus Dfa go up and down completely randomly.

Pair Corralation between Pimco Extended and Virtus Dfa

Assuming the 90 days horizon Pimco Extended is expected to generate 4.99 times less return on investment than Virtus Dfa. In addition to that, Pimco Extended is 2.71 times more volatile than Virtus Dfa 2040. It trades about 0.01 of its total potential returns per unit of risk. Virtus Dfa 2040 is currently generating about 0.12 per unit of volatility. If you would invest  1,210  in Virtus Dfa 2040 on September 12, 2024 and sell it today you would earn a total of  15.00  from holding Virtus Dfa 2040 or generate 1.24% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthVery Weak
Accuracy95.45%
ValuesDaily Returns

Pimco Extended Duration  vs.  Virtus Dfa 2040

 Performance 
       Timeline  
Pimco Extended Duration 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Pimco Extended Duration has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.
Virtus Dfa 2040 

Risk-Adjusted Performance

11 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Dfa 2040 are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Virtus Dfa is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pimco Extended and Virtus Dfa Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Pimco Extended and Virtus Dfa

The main advantage of trading using opposite Pimco Extended and Virtus Dfa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pimco Extended position performs unexpectedly, Virtus Dfa 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 Virtus Dfa will offset losses from the drop in Virtus Dfa's long position.
The idea behind Pimco Extended Duration and Virtus Dfa 2040 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.

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