Correlation Between Dreyfus Municipal and Lord Abbett
Can any of the company-specific risk be diversified away by investing in both Dreyfus Municipal and Lord Abbett 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 Dreyfus Municipal and Lord Abbett into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dreyfus Municipal Bond and Lord Abbett Health, you can compare the effects of market volatilities on Dreyfus Municipal and Lord Abbett 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 Dreyfus Municipal with a short position of Lord Abbett. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Municipal and Lord Abbett.
Diversification Opportunities for Dreyfus Municipal and Lord Abbett
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Dreyfus and Lord is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Municipal Bond and Lord Abbett Health in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lord Abbett Health and Dreyfus Municipal 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 Dreyfus Municipal Bond are associated (or correlated) with Lord Abbett. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lord Abbett Health has no effect on the direction of Dreyfus Municipal i.e., Dreyfus Municipal and Lord Abbett go up and down completely randomly.
Pair Corralation between Dreyfus Municipal and Lord Abbett
Assuming the 90 days horizon Dreyfus Municipal Bond is expected to under-perform the Lord Abbett. But the mutual fund apears to be less risky and, when comparing its historical volatility, Dreyfus Municipal Bond is 1.83 times less risky than Lord Abbett. The mutual fund trades about -0.29 of its potential returns per unit of risk. The Lord Abbett Health is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest 1,946 in Lord Abbett Health on October 11, 2024 and sell it today you would lose (60.00) from holding Lord Abbett Health or give up 3.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Dreyfus Municipal Bond vs. Lord Abbett Health
Performance |
| Timeline |
| Dreyfus Municipal Bond |
| Lord Abbett Health |
Dreyfus Municipal and Lord Abbett Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus Municipal and Lord Abbett
The main advantage of trading using opposite Dreyfus Municipal and Lord Abbett positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Municipal position performs unexpectedly, Lord Abbett 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 Lord Abbett will offset losses from the drop in Lord Abbett's long position.| Dreyfus Municipal vs. Fidelity Advisor Financial | Dreyfus Municipal vs. Financial Industries Fund | Dreyfus Municipal vs. Vanguard Financials Index | Dreyfus Municipal vs. Putnam Global Financials |
| Lord Abbett vs. Pioneer Amt Free Municipal | Lord Abbett vs. Morningstar Municipal Bond | Lord Abbett vs. Dws Government Money | Lord Abbett vs. Alliancebernstein National Municipalome |
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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