Correlation Between Cref Inflation and Inflation Protected
Can any of the company-specific risk be diversified away by investing in both Cref Inflation and Inflation Protected 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 Cref Inflation and Inflation Protected into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cref Inflation Linked Bond and Inflation Protected Bond Fund, you can compare the effects of market volatilities on Cref Inflation and Inflation Protected 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 Cref Inflation with a short position of Inflation Protected. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cref Inflation and Inflation Protected.
Diversification Opportunities for Cref Inflation and Inflation Protected
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Cref and Inflation is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Cref Inflation Linked Bond and Inflation Protected Bond Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Inflation Protected and Cref Inflation 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 Cref Inflation Linked Bond are associated (or correlated) with Inflation Protected. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Inflation Protected has no effect on the direction of Cref Inflation i.e., Cref Inflation and Inflation Protected go up and down completely randomly.
Pair Corralation between Cref Inflation and Inflation Protected
Assuming the 90 days trading horizon Cref Inflation is expected to generate 1.6 times less return on investment than Inflation Protected. But when comparing it to its historical volatility, Cref Inflation Linked Bond is 1.93 times less risky than Inflation Protected. It trades about 0.18 of its potential returns per unit of risk. Inflation Protected Bond Fund is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 1,024 in Inflation Protected Bond Fund on September 12, 2024 and sell it today you would earn a total of 10.00 from holding Inflation Protected Bond Fund or generate 0.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cref Inflation Linked Bond vs. Inflation Protected Bond Fund
Performance |
| Timeline |
| Cref Inflation Linked |
| Inflation Protected |
Cref Inflation and Inflation Protected Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cref Inflation and Inflation Protected
The main advantage of trading using opposite Cref Inflation and Inflation Protected positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cref Inflation position performs unexpectedly, Inflation Protected 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 Inflation Protected will offset losses from the drop in Inflation Protected's long position.| Cref Inflation vs. Queens Road Small | Cref Inflation vs. Boston Partners Small | Cref Inflation vs. Valic Company I | Cref Inflation vs. Fpa Queens Road |
| Inflation Protected vs. Aqr Large Cap | Inflation Protected vs. Pace Large Growth | Inflation Protected vs. Old Westbury Large | Inflation Protected vs. Rational Strategic Allocation |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Other Complementary Tools
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets |