Correlation Between Dreyfus Municipal and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Dreyfus Municipal and Nasdaq-100(r) 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 Nasdaq-100(r) 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 Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Dreyfus Municipal and Nasdaq-100(r) 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 Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Municipal and Nasdaq-100(r).
Diversification Opportunities for Dreyfus Municipal and Nasdaq-100(r)
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Dreyfus and Nasdaq-100(r) is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Municipal Bond and Nasdaq 100 2x Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq 100 2x 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 Nasdaq-100(r). Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq 100 2x has no effect on the direction of Dreyfus Municipal i.e., Dreyfus Municipal and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Dreyfus Municipal and Nasdaq-100(r)
Assuming the 90 days horizon Dreyfus Municipal Bond is expected to generate 0.19 times more return on investment than Nasdaq-100(r). However, Dreyfus Municipal Bond is 5.35 times less risky than Nasdaq-100(r). It trades about -0.24 of its potential returns per unit of risk. Nasdaq 100 2x Strategy is currently generating about -0.2 per unit of risk. If you would invest 1,236 in Dreyfus Municipal Bond on October 12, 2024 and sell it today you would lose (35.00) from holding Dreyfus Municipal Bond or give up 2.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dreyfus Municipal Bond vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Dreyfus Municipal Bond |
| Nasdaq 100 2x |
Dreyfus Municipal and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus Municipal and Nasdaq-100(r)
The main advantage of trading using opposite Dreyfus Municipal and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Municipal position performs unexpectedly, Nasdaq-100(r) 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 Nasdaq-100(r) will offset losses from the drop in Nasdaq-100(r)'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 |
| Nasdaq-100(r) vs. California Municipal Portfolio | Nasdaq-100(r) vs. Aig Government Money | Nasdaq-100(r) vs. Dreyfus Municipal Bond | Nasdaq-100(r) vs. Lord Abbett Intermediate |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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