Correlation Between Commodities Strategy and Locorr Macro
Can any of the company-specific risk be diversified away by investing in both Commodities Strategy and Locorr Macro 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 Locorr Macro 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 Locorr Macro Strategies, you can compare the effects of market volatilities on Commodities Strategy and Locorr Macro 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 Locorr Macro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commodities Strategy and Locorr Macro.
Diversification Opportunities for Commodities Strategy and Locorr Macro
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Commodities and Locorr is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Commodities Strategy Fund and Locorr Macro Strategies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Locorr Macro Strategies 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 Locorr Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Locorr Macro Strategies has no effect on the direction of Commodities Strategy i.e., Commodities Strategy and Locorr Macro go up and down completely randomly.
Pair Corralation between Commodities Strategy and Locorr Macro
Assuming the 90 days horizon Commodities Strategy Fund is expected to under-perform the Locorr Macro. In addition to that, Commodities Strategy is 3.7 times more volatile than Locorr Macro Strategies. It trades about -0.09 of its total potential returns per unit of risk. Locorr Macro Strategies is currently generating about -0.2 per unit of volatility. If you would invest 718.00 in Locorr Macro Strategies on January 19, 2025 and sell it today you would lose (16.00) from holding Locorr Macro Strategies or give up 2.23% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Commodities Strategy Fund vs. Locorr Macro Strategies
Performance |
| Timeline |
| Commodities Strategy |
| Locorr Macro Strategies |
Commodities Strategy and Locorr Macro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commodities Strategy and Locorr Macro
The main advantage of trading using opposite Commodities Strategy and Locorr Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commodities Strategy position performs unexpectedly, Locorr Macro 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 Locorr Macro will offset losses from the drop in Locorr Macro's long position.The idea behind Commodities Strategy Fund and Locorr Macro Strategies 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.
| Locorr Macro vs. Locorr Market Trend | Locorr Macro vs. Locorr Market Trend | Locorr Macro vs. Locorr Market Trend | Locorr Macro vs. Locorr Hedged Core |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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