Correlation Between Pershing Square and VanEck IBoxx
Can any of the company-specific risk be diversified away by investing in both Pershing Square and VanEck IBoxx 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 Pershing Square and VanEck IBoxx into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pershing Square Holdings and VanEck iBoxx EUR, you can compare the effects of market volatilities on Pershing Square and VanEck IBoxx 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 Pershing Square with a short position of VanEck IBoxx. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pershing Square and VanEck IBoxx.
Diversification Opportunities for Pershing Square and VanEck IBoxx
-0.06 | Correlation Coefficient |
Good diversification
The 3 months correlation between Pershing and VanEck is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Pershing Square Holdings and VanEck iBoxx EUR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VanEck iBoxx EUR and Pershing Square 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 Pershing Square Holdings are associated (or correlated) with VanEck IBoxx. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VanEck iBoxx EUR has no effect on the direction of Pershing Square i.e., Pershing Square and VanEck IBoxx go up and down completely randomly.
Pair Corralation between Pershing Square and VanEck IBoxx
Assuming the 90 days trading horizon Pershing Square Holdings is expected to under-perform the VanEck IBoxx. But the stock apears to be less risky and, when comparing its historical volatility, Pershing Square Holdings is 1.83 times less risky than VanEck IBoxx. The stock trades about -0.17 of its potential returns per unit of risk. The VanEck iBoxx EUR is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 1,893 in VanEck iBoxx EUR on November 29, 2024 and sell it today you would earn a total of 5.00 from holding VanEck iBoxx EUR or generate 0.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pershing Square Holdings vs. VanEck iBoxx EUR
Performance |
| Timeline |
| Pershing Square Holdings |
| VanEck iBoxx EUR |
Pershing Square and VanEck IBoxx Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pershing Square and VanEck IBoxx
The main advantage of trading using opposite Pershing Square and VanEck IBoxx positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pershing Square position performs unexpectedly, VanEck IBoxx 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 VanEck IBoxx will offset losses from the drop in VanEck IBoxx's long position.The idea behind Pershing Square Holdings and VanEck iBoxx EUR 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.| VanEck IBoxx vs. VanEck iBoxx EUR | VanEck IBoxx vs. VanEck AEX UCITS | VanEck IBoxx vs. VanEck iBoxx EUR | VanEck IBoxx vs. iShares EURO STOXX |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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