Correlation Between Day HaganNed and Dimensional Emerging
Can any of the company-specific risk be diversified away by investing in both Day HaganNed and Dimensional Emerging 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 Day HaganNed and Dimensional Emerging into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Day HaganNed Davis and Dimensional Emerging Core, you can compare the effects of market volatilities on Day HaganNed and Dimensional Emerging 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 Day HaganNed with a short position of Dimensional Emerging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Day HaganNed and Dimensional Emerging.
Diversification Opportunities for Day HaganNed and Dimensional Emerging
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Day and Dimensional is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Day HaganNed Davis and Dimensional Emerging Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dimensional Emerging Core and Day HaganNed 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 Day HaganNed Davis are associated (or correlated) with Dimensional Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dimensional Emerging Core has no effect on the direction of Day HaganNed i.e., Day HaganNed and Dimensional Emerging go up and down completely randomly.
Pair Corralation between Day HaganNed and Dimensional Emerging
Given the investment horizon of 90 days Day HaganNed is expected to generate 1.4 times less return on investment than Dimensional Emerging. But when comparing it to its historical volatility, Day HaganNed Davis is 1.21 times less risky than Dimensional Emerging. It trades about 0.04 of its potential returns per unit of risk. Dimensional Emerging Core is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 2,275 in Dimensional Emerging Core on September 2, 2024 and sell it today you would earn a total of 317.00 from holding Dimensional Emerging Core or generate 13.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Day HaganNed Davis vs. Dimensional Emerging Core
Performance |
| Timeline |
| Day HaganNed Davis |
| Dimensional Emerging Core |
Day HaganNed and Dimensional Emerging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Day HaganNed and Dimensional Emerging
The main advantage of trading using opposite Day HaganNed and Dimensional Emerging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Day HaganNed position performs unexpectedly, Dimensional Emerging 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 Dimensional Emerging will offset losses from the drop in Dimensional Emerging's long position.| Day HaganNed vs. iShares ESG Aggregate | Day HaganNed vs. SPDR MSCI Emerging | Day HaganNed vs. Aquagold International | Day HaganNed vs. Thrivent High Yield |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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