Correlation Between International Fixed and Global Fixed
Can any of the company-specific risk be diversified away by investing in both International Fixed and Global Fixed 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 International Fixed and Global Fixed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between International Fixed Income and Global Fixed Income, you can compare the effects of market volatilities on International Fixed and Global Fixed 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 International Fixed with a short position of Global Fixed. Check out your portfolio center. Please also check ongoing floating volatility patterns of International Fixed and Global Fixed.
Diversification Opportunities for International Fixed and Global Fixed
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between International and Global is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding International Fixed Income and Global Fixed Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Fixed Income and International Fixed 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 International Fixed Income are associated (or correlated) with Global Fixed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Fixed Income has no effect on the direction of International Fixed i.e., International Fixed and Global Fixed go up and down completely randomly.
Pair Corralation between International Fixed and Global Fixed
Assuming the 90 days horizon International Fixed Income is expected to under-perform the Global Fixed. In addition to that, International Fixed is 1.94 times more volatile than Global Fixed Income. It trades about -0.05 of its total potential returns per unit of risk. Global Fixed Income is currently generating about 0.05 per unit of volatility. If you would invest 524.00 in Global Fixed Income on September 12, 2024 and sell it today you would earn a total of 3.00 from holding Global Fixed Income or generate 0.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
International Fixed Income vs. Global Fixed Income
Performance |
| Timeline |
| International Fixed |
| Global Fixed Income |
International Fixed and Global Fixed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with International Fixed and Global Fixed
The main advantage of trading using opposite International Fixed and Global Fixed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if International Fixed position performs unexpectedly, Global Fixed 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 Global Fixed will offset losses from the drop in Global Fixed's long position.| International Fixed vs. Ppm High Yield | International Fixed vs. Ab Global Risk | International Fixed vs. Artisan High Income | International Fixed vs. Lgm Risk Managed |
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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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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