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 Smallmid 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
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between State and Elfun is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding State Street Smallmid 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 Smallmid 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 Smallmid is expected to generate 3.13 times more return on investment than Elfun Income. However, State Street is 3.13 times more volatile than Elfun Income Fund. It trades about 0.14 of its potential returns per unit of risk. Elfun Income Fund is currently generating about 0.06 per unit of risk. If you would invest 27,312 in State Street Smallmid on September 3, 2024 and sell it today you would earn a total of 5,928 from holding State Street Smallmid or generate 21.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
State Street Smallmid vs. Elfun Income Fund
Performance |
| Timeline |
| State Street Smallmid |
| 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. Aqr Diversified Arbitrage | State Street vs. Evaluator Conservative Rms | State Street vs. Pgim Conservative Retirement | State Street vs. Massmutual Select Diversified |
| Elfun Income vs. 361 Global Longshort | Elfun Income vs. Ab Global Real | Elfun Income vs. Scharf Global Opportunity | Elfun Income vs. Legg Mason Global |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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