Correlation Between State Street and State Street
Can any of the company-specific risk be diversified away by investing in both State Street and State Street 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 State Street and State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between State Street Core and State Street Aggregate, you can compare the effects of market volatilities on State Street and State Street 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 State Street with a short position of State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and State Street.
Diversification Opportunities for State Street and State Street
-0.71 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between State and State is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding State Street Core and State Street Aggregate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Aggregate and State Street 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 State Street Core are associated (or correlated) with State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Aggregate has no effect on the direction of State Street i.e., State Street and State Street go up and down completely randomly.
Pair Corralation between State Street and State Street
Assuming the 90 days horizon State Street Core is expected to generate 2.31 times more return on investment than State Street. However, State Street is 2.31 times more volatile than State Street Aggregate. It trades about 0.14 of its potential returns per unit of risk. State Street Aggregate is currently generating about 0.05 per unit of risk. If you would invest 8,549 in State Street Core on August 29, 2024 and sell it today you would earn a total of 231.00 from holding State Street Core or generate 2.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
State Street Core vs. State Street Aggregate
Performance |
| Timeline |
| State Street Core |
| State Street Aggregate |
State Street and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with State Street and State Street
The main advantage of trading using opposite State Street and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if State Street position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| State Street vs. Jhancock Diversified Macro | State Street vs. Massmutual Premier Diversified | State Street vs. Vanguard Strategic Small Cap | State Street vs. T Rowe Price |
| State Street vs. Transamerica Large Cap | State Street vs. Pace Large Value | State Street vs. Tax Managed Large Cap | State Street vs. Aqr Large 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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