Correlation Between Stone Ridge and Short Duration
Can any of the company-specific risk be diversified away by investing in both Stone Ridge and Short Duration 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 Stone Ridge and Short Duration into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stone Ridge Diversified and Short Duration Inflation, you can compare the effects of market volatilities on Stone Ridge and Short Duration 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 Stone Ridge with a short position of Short Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stone Ridge and Short Duration.
Diversification Opportunities for Stone Ridge and Short Duration
-0.4 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Stone and Short is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge Diversified and Short Duration Inflation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Short Duration Inflation and Stone Ridge 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 Stone Ridge Diversified are associated (or correlated) with Short Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Short Duration Inflation has no effect on the direction of Stone Ridge i.e., Stone Ridge and Short Duration go up and down completely randomly.
Pair Corralation between Stone Ridge and Short Duration
Assuming the 90 days horizon Stone Ridge Diversified is expected to generate 0.33 times more return on investment than Short Duration. However, Stone Ridge Diversified is 3.03 times less risky than Short Duration. It trades about 0.29 of its potential returns per unit of risk. Short Duration Inflation is currently generating about -0.22 per unit of risk. If you would invest 1,129 in Stone Ridge Diversified on September 22, 2024 and sell it today you would earn a total of 12.00 from holding Stone Ridge Diversified or generate 1.06% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Stone Ridge Diversified vs. Short Duration Inflation
Performance |
| Timeline |
| Stone Ridge Diversified |
| Short Duration Inflation |
Stone Ridge and Short Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Stone Ridge and Short Duration
The main advantage of trading using opposite Stone Ridge and Short Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stone Ridge position performs unexpectedly, Short Duration 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 Short Duration will offset losses from the drop in Short Duration's long position.| Stone Ridge vs. Stone Ridge High | Stone Ridge vs. Stone Ridge High | Stone Ridge vs. Red Oak Technology | Stone Ridge vs. John Hancock Focused |
| Short Duration vs. Fulcrum Diversified Absolute | Short Duration vs. Stone Ridge Diversified | Short Duration vs. Blackrock Conservative Prprdptfinstttnl | Short Duration vs. Global Diversified Income |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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