Correlation Between Versus Capital and State Street
Can any of the company-specific risk be diversified away by investing in both Versus Capital and State Street 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 Versus Capital and State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Versus Capital Multi Manager and State Street Target, you can compare the effects of market volatilities on Versus Capital and State Street 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 Versus Capital with a short position of State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Versus Capital and State Street.
Diversification Opportunities for Versus Capital and State Street
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Versus and State is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Versus Capital Multi Manager and State Street Target in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Target and Versus Capital 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 Versus Capital Multi Manager are associated (or correlated) with State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Target has no effect on the direction of Versus Capital i.e., Versus Capital and State Street go up and down completely randomly.
Pair Corralation between Versus Capital and State Street
Assuming the 90 days horizon Versus Capital Multi Manager is expected to under-perform the State Street. In addition to that, Versus Capital is 1.04 times more volatile than State Street Target. It trades about -0.02 of its total potential returns per unit of risk. State Street Target is currently generating about 0.09 per unit of volatility. If you would invest 1,188 in State Street Target on September 1, 2024 and sell it today you would earn a total of 299.00 from holding State Street Target or generate 25.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.34% |
| Values | Daily Returns |
Versus Capital Multi Manager vs. State Street Target
Performance |
| Timeline |
| Versus Capital Multi |
| State Street Target |
Versus Capital and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Versus Capital and State Street
The main advantage of trading using opposite Versus Capital and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Versus Capital position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Versus Capital vs. Goldman Sachs Financial | Versus Capital vs. Davis Financial Fund | Versus Capital vs. Vanguard Financials Index | Versus Capital vs. John Hancock Financial |
| State Street vs. Western Asset Diversified | State Street vs. Aqr Long Short Equity | State Street vs. Doubleline Emerging Markets | State Street vs. Origin Emerging Markets |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Other Complementary Tools
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
| CEOs Directory Screen CEOs from public companies around the world | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. |