Correlation Between Deutsche and Sp 500
Can any of the company-specific risk be diversified away by investing in both Deutsche and Sp 500 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 Deutsche and Sp 500 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Deutsche Sp 500 and Sp 500 Index, you can compare the effects of market volatilities on Deutsche and Sp 500 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 Deutsche with a short position of Sp 500. Check out your portfolio center. Please also check ongoing floating volatility patterns of Deutsche and Sp 500.
Diversification Opportunities for Deutsche and Sp 500
Average diversification
The 3 months correlation between Deutsche and SPFIX is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Sp 500 and Sp 500 Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp 500 Index and Deutsche 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 Deutsche Sp 500 are associated (or correlated) with Sp 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp 500 Index has no effect on the direction of Deutsche i.e., Deutsche and Sp 500 go up and down completely randomly.
Pair Corralation between Deutsche and Sp 500
Assuming the 90 days horizon Deutsche Sp 500 is expected to generate 0.86 times more return on investment than Sp 500. However, Deutsche Sp 500 is 1.17 times less risky than Sp 500. It trades about 0.1 of its potential returns per unit of risk. Sp 500 Index is currently generating about 0.06 per unit of risk. If you would invest 3,426 in Deutsche Sp 500 on September 12, 2024 and sell it today you would earn a total of 1,694 from holding Deutsche Sp 500 or generate 49.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Deutsche Sp 500 vs. Sp 500 Index
Performance |
| Timeline |
| Deutsche Sp 500 |
| Sp 500 Index |
Deutsche and Sp 500 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Deutsche and Sp 500
The main advantage of trading using opposite Deutsche and Sp 500 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Deutsche position performs unexpectedly, Sp 500 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 Sp 500 will offset losses from the drop in Sp 500's long position.| Deutsche vs. Deutsche Sp 500 | Deutsche vs. Simt Sp 500 | Deutsche vs. Mainstay Sp 500 | Deutsche vs. Siit Dynamic Asset |
| Sp 500 vs. Sp Midcap Index | Sp 500 vs. Sp Smallcap Index | Sp 500 vs. Deutsche Equity 500 | Sp 500 vs. Dreyfus Institutional Sp |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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