Correlation Between State Street and Elfun Income
Can any of the company-specific risk be diversified away by investing in both State Street and Elfun Income 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 Elfun Income into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between State Street Aggregate and Elfun Income Fund, you can compare the effects of market volatilities on State Street and Elfun Income 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 Elfun Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and Elfun Income.
Diversification Opportunities for State Street and Elfun Income
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between State and Elfun is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding State Street Aggregate and Elfun Income Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Elfun Income 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 Aggregate are associated (or correlated) with Elfun Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Elfun Income has no effect on the direction of State Street i.e., State Street and Elfun Income go up and down completely randomly.
Pair Corralation between State Street and Elfun Income
Assuming the 90 days horizon State Street Aggregate is expected to generate 0.94 times more return on investment than Elfun Income. However, State Street Aggregate is 1.06 times less risky than Elfun Income. It trades about 0.13 of its potential returns per unit of risk. Elfun Income Fund is currently generating about 0.09 per unit of risk. If you would invest 8,584 in State Street Aggregate on September 1, 2024 and sell it today you would earn a total of 96.00 from holding State Street Aggregate or generate 1.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
State Street Aggregate vs. Elfun Income Fund
Performance |
| Timeline |
| State Street Aggregate |
| Elfun Income |
State Street and Elfun Income Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with State Street and Elfun Income
The main advantage of trading using opposite State Street and Elfun Income positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if State Street position performs unexpectedly, Elfun Income 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 Elfun Income will offset losses from the drop in Elfun Income's long position.| State Street vs. T Rowe Price | State Street vs. Strategic Allocation Aggressive | State Street vs. Enhanced Large Pany | State Street vs. T Rowe Price |
| Elfun Income vs. Jhancock Diversified Macro | Elfun Income vs. American Century Diversified | Elfun Income vs. Oppenheimer International Diversified | Elfun Income vs. The Gabelli Small |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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