Correlation Between SIGMA and Dow Jones
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By analyzing existing cross correlation between SIGMA HOLDCO B and Dow Jones Industrial, you can compare the effects of market volatilities on SIGMA and Dow Jones 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 SIGMA with a short position of Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of SIGMA and Dow Jones.
Diversification Opportunities for SIGMA and Dow Jones
Very good diversification
The 3 months correlation between SIGMA and Dow is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding SIGMA HOLDCO B and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial and SIGMA 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 SIGMA HOLDCO B are associated (or correlated) with Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of SIGMA i.e., SIGMA and Dow Jones go up and down completely randomly.
Pair Corralation between SIGMA and Dow Jones
Assuming the 90 days trading horizon SIGMA is expected to generate 3.28 times less return on investment than Dow Jones. But when comparing it to its historical volatility, SIGMA HOLDCO B is 1.87 times less risky than Dow Jones. It trades about 0.21 of its potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 4,176,346 in Dow Jones Industrial on September 1, 2024 and sell it today you would earn a total of 314,719 from holding Dow Jones Industrial or generate 7.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 61.9% |
| Values | Daily Returns |
SIGMA HOLDCO B vs. Dow Jones Industrial
Performance |
| Timeline |
SIGMA and Dow Jones Volatility Contrast
Predicted Return Density |
| Returns |
SIGMA HOLDCO B
Pair trading matchups for SIGMA
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with SIGMA and Dow Jones
The main advantage of trading using opposite SIGMA and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SIGMA position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.The idea behind SIGMA HOLDCO B and Dow Jones Industrial pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Dow Jones vs. Catalyst Pharmaceuticals | Dow Jones vs. Sphere Entertainment Co | Dow Jones vs. National CineMedia | Dow Jones vs. Mink Therapeutics |
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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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