Correlation Between Commodities Strategy and Virtus Multi-strategy
Can any of the company-specific risk be diversified away by investing in both Commodities Strategy and Virtus Multi-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 Commodities Strategy and Virtus Multi-strategy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commodities Strategy Fund and Virtus Multi Strategy Target, you can compare the effects of market volatilities on Commodities Strategy and Virtus Multi-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 Commodities Strategy with a short position of Virtus Multi-strategy. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commodities Strategy and Virtus Multi-strategy.
Diversification Opportunities for Commodities Strategy and Virtus Multi-strategy
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Commodities and Virtus is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund and Virtus Multi Strategy Target in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Multi Strategy and Commodities Strategy 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 Commodities Strategy Fund are associated (or correlated) with Virtus Multi-strategy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Multi Strategy has no effect on the direction of Commodities Strategy i.e., Commodities Strategy and Virtus Multi-strategy go up and down completely randomly.
Pair Corralation between Commodities Strategy and Virtus Multi-strategy
Assuming the 90 days horizon Commodities Strategy is expected to generate 2.96 times less return on investment than Virtus Multi-strategy. In addition to that, Commodities Strategy is 4.31 times more volatile than Virtus Multi Strategy Target. It trades about 0.01 of its total potential returns per unit of risk. Virtus Multi Strategy Target is currently generating about 0.1 per unit of volatility. If you would invest 1,580 in Virtus Multi Strategy Target on October 11, 2024 and sell it today you would earn a total of 221.00 from holding Virtus Multi Strategy Target or generate 13.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.6% |
| Values | Daily Returns |
Commodities Strategy Fund vs. Virtus Multi Strategy Target
Performance |
| Timeline |
| Commodities Strategy |
| Virtus Multi Strategy |
Commodities Strategy and Virtus Multi-strategy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commodities Strategy and Virtus Multi-strategy
The main advantage of trading using opposite Commodities Strategy and Virtus Multi-strategy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commodities Strategy position performs unexpectedly, Virtus Multi-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 Virtus Multi-strategy will offset losses from the drop in Virtus Multi-strategy's long position.| Commodities Strategy vs. Basic Materials Fund | Commodities Strategy vs. Energy Services Fund | Commodities Strategy vs. Energy Fund Investor | Commodities Strategy vs. Real Estate Fund |
| Virtus Multi-strategy vs. Commodities Strategy Fund | Virtus Multi-strategy vs. Predex Funds | Virtus Multi-strategy vs. Alternative Asset Allocation | Virtus Multi-strategy vs. Ab Small Cap |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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