Correlation Between Total Return and Core Plus
Can any of the company-specific risk be diversified away by investing in both Total Return and Core Plus 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 Total Return and Core Plus into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Total Return Fund and Core Plus Income, you can compare the effects of market volatilities on Total Return and Core Plus 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 Total Return with a short position of Core Plus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Total Return and Core Plus.
Diversification Opportunities for Total Return and Core Plus
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Total and Core is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Total Return Fund and Core Plus Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Core Plus Income and Total Return 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 Total Return Fund are associated (or correlated) with Core Plus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Core Plus Income has no effect on the direction of Total Return i.e., Total Return and Core Plus go up and down completely randomly.
Pair Corralation between Total Return and Core Plus
Assuming the 90 days horizon Total Return Fund is expected to under-perform the Core Plus. In addition to that, Total Return is 1.04 times more volatile than Core Plus Income. It trades about -0.08 of its total potential returns per unit of risk. Core Plus Income is currently generating about -0.01 per unit of volatility. If you would invest 961.00 in Core Plus Income on August 26, 2024 and sell it today you would lose (1.00) from holding Core Plus Income or give up 0.1% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Total Return Fund vs. Core Plus Income
Performance |
| Timeline |
| Total Return |
| Core Plus Income |
Total Return and Core Plus Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Total Return and Core Plus
The main advantage of trading using opposite Total Return and Core Plus positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Total Return position performs unexpectedly, Core Plus 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 Core Plus will offset losses from the drop in Core Plus' long position.| Total Return vs. Pimco Rae Worldwide | Total Return vs. Pimco Rae Worldwide | Total Return vs. Pimco Rae Worldwide | Total Return vs. Pimco Rae Worldwide |
| Core Plus vs. Artisan High Income | Core Plus vs. T Rowe Price | Core Plus vs. Dodge Global Bond | Core Plus vs. Performance Trust Strategic |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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