Correlation Between Dreyfus Municipal and Alliancebernstein
Can any of the company-specific risk be diversified away by investing in both Dreyfus Municipal and Alliancebernstein 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 Alliancebernstein 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 Alliancebernstein Global Highome, you can compare the effects of market volatilities on Dreyfus Municipal and Alliancebernstein 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 Alliancebernstein. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dreyfus Municipal and Alliancebernstein.
Diversification Opportunities for Dreyfus Municipal and Alliancebernstein
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Dreyfus and Alliancebernstein is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Dreyfus Municipal Bond and Alliancebernstein Global Higho in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alliancebernstein 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 Alliancebernstein. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alliancebernstein has no effect on the direction of Dreyfus Municipal i.e., Dreyfus Municipal and Alliancebernstein go up and down completely randomly.
Pair Corralation between Dreyfus Municipal and Alliancebernstein
Assuming the 90 days horizon Dreyfus Municipal Bond is expected to under-perform the Alliancebernstein. In addition to that, Dreyfus Municipal is 2.51 times more volatile than Alliancebernstein Global Highome. It trades about -0.29 of its total potential returns per unit of risk. Alliancebernstein Global Highome is currently generating about -0.24 per unit of volatility. If you would invest 1,144 in Alliancebernstein Global Highome on October 11, 2024 and sell it today you would lose (11.00) from holding Alliancebernstein Global Highome or give up 0.96% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dreyfus Municipal Bond vs. Alliancebernstein Global Higho
Performance |
| Timeline |
| Dreyfus Municipal Bond |
| Alliancebernstein |
Dreyfus Municipal and Alliancebernstein Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dreyfus Municipal and Alliancebernstein
The main advantage of trading using opposite Dreyfus Municipal and Alliancebernstein positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dreyfus Municipal position performs unexpectedly, Alliancebernstein 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 Alliancebernstein will offset losses from the drop in Alliancebernstein's long position.| Dreyfus Municipal vs. Prudential Government Money | Dreyfus Municipal vs. Lord Abbett Government | Dreyfus Municipal vs. Virtus Seix Government | Dreyfus Municipal vs. Davis Government Bond |
| Alliancebernstein vs. Virtus Seix Government | Alliancebernstein vs. Dreyfus Municipal Bond | Alliancebernstein vs. T Rowe Price | Alliancebernstein vs. Inverse Government Long |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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