Correlation Between Inverse Russell and Commodities Strategy
Can any of the company-specific risk be diversified away by investing in both Inverse Russell and Commodities Strategy 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 Inverse Russell and Commodities Strategy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Inverse Russell 2000 and Commodities Strategy Fund, you can compare the effects of market volatilities on Inverse Russell and Commodities Strategy 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 Inverse Russell with a short position of Commodities Strategy. Check out your portfolio center. Please also check ongoing floating volatility patterns of Inverse Russell and Commodities Strategy.
Diversification Opportunities for Inverse Russell and Commodities Strategy
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Inverse and Commodities is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Inverse Russell 2000 and Commodities Strategy Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Commodities Strategy and Inverse Russell 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 Inverse Russell 2000 are associated (or correlated) with Commodities Strategy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Commodities Strategy has no effect on the direction of Inverse Russell i.e., Inverse Russell and Commodities Strategy go up and down completely randomly.
Pair Corralation between Inverse Russell and Commodities Strategy
Assuming the 90 days horizon Inverse Russell 2000 is expected to under-perform the Commodities Strategy. In addition to that, Inverse Russell is 1.67 times more volatile than Commodities Strategy Fund. It trades about -0.23 of its total potential returns per unit of risk. Commodities Strategy Fund is currently generating about 0.08 per unit of volatility. If you would invest 2,886 in Commodities Strategy Fund on August 28, 2024 and sell it today you would earn a total of 47.00 from holding Commodities Strategy Fund or generate 1.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Inverse Russell 2000 vs. Commodities Strategy Fund
Performance |
| Timeline |
| Inverse Russell 2000 |
| Commodities Strategy |
Inverse Russell and Commodities Strategy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Inverse Russell and Commodities Strategy
The main advantage of trading using opposite Inverse Russell and Commodities Strategy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Inverse Russell position performs unexpectedly, Commodities Strategy 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 Commodities Strategy will offset losses from the drop in Commodities Strategy's long position.| Inverse Russell vs. Ab Bond Inflation | Inverse Russell vs. Vy Blackrock Inflation | Inverse Russell vs. Guidepath Managed Futures | Inverse Russell vs. Deutsche Global Inflation |
| Commodities Strategy vs. Basic Materials Fund | Commodities Strategy vs. Basic Materials Fund | Commodities Strategy vs. Banking Fund Class | Commodities Strategy vs. Basic Materials Fund |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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