Correlation Between Tiaa-cref High-yield and Russell 2000
Can any of the company-specific risk be diversified away by investing in both Tiaa-cref High-yield and Russell 2000 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 Tiaa-cref High-yield and Russell 2000 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Tiaa Cref High Yield Fund and Russell 2000 15x, you can compare the effects of market volatilities on Tiaa-cref High-yield and Russell 2000 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 Tiaa-cref High-yield with a short position of Russell 2000. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tiaa-cref High-yield and Russell 2000.
Diversification Opportunities for Tiaa-cref High-yield and Russell 2000
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Tiaa-cref and Russell is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding Tiaa Cref High Yield Fund and Russell 2000 15x in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 15x and Tiaa-cref High-yield 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 Tiaa Cref High Yield Fund are associated (or correlated) with Russell 2000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 2000 15x has no effect on the direction of Tiaa-cref High-yield i.e., Tiaa-cref High-yield and Russell 2000 go up and down completely randomly.
Pair Corralation between Tiaa-cref High-yield and Russell 2000
Assuming the 90 days horizon Tiaa-cref High-yield is expected to generate 3.9 times less return on investment than Russell 2000. But when comparing it to its historical volatility, Tiaa Cref High Yield Fund is 7.08 times less risky than Russell 2000. It trades about 0.31 of its potential returns per unit of risk. Russell 2000 15x is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 5,656 in Russell 2000 15x on October 23, 2024 and sell it today you would earn a total of 294.00 from holding Russell 2000 15x or generate 5.2% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Tiaa Cref High Yield Fund vs. Russell 2000 15x
Performance |
Timeline |
Tiaa-cref High-yield |
Russell 2000 15x |
Tiaa-cref High-yield and Russell 2000 Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Tiaa-cref High-yield and Russell 2000
The main advantage of trading using opposite Tiaa-cref High-yield and Russell 2000 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tiaa-cref High-yield position performs unexpectedly, Russell 2000 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 Russell 2000 will offset losses from the drop in Russell 2000's long position.Tiaa-cref High-yield vs. Siit High Yield | Tiaa-cref High-yield vs. Blrc Sgy Mnp | Tiaa-cref High-yield vs. Gmo High Yield | Tiaa-cref High-yield vs. Versatile Bond Portfolio |
Russell 2000 vs. Calvert Conservative Allocation | Russell 2000 vs. Aqr Diversified Arbitrage | Russell 2000 vs. Jhancock Diversified Macro | Russell 2000 vs. Global Diversified Income |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Other Complementary Tools
Money Managers Screen money managers from public funds and ETFs managed around the world | |
Global Correlations Find global opportunities by holding instruments from different markets | |
Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities |