Correlation Between Western Asset and Davenport Core
Can any of the company-specific risk be diversified away by investing in both Western Asset and Davenport Core 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 Western Asset and Davenport Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Diversified and Davenport E Fund, you can compare the effects of market volatilities on Western Asset and Davenport Core 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 Western Asset with a short position of Davenport Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Davenport Core.
Diversification Opportunities for Western Asset and Davenport Core
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Western and Davenport is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Diversified and Davenport E Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Davenport E Fund and Western Asset 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 Western Asset Diversified are associated (or correlated) with Davenport Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Davenport E Fund has no effect on the direction of Western Asset i.e., Western Asset and Davenport Core go up and down completely randomly.
Pair Corralation between Western Asset and Davenport Core
Assuming the 90 days horizon Western Asset is expected to generate 14.26 times less return on investment than Davenport Core. But when comparing it to its historical volatility, Western Asset Diversified is 2.59 times less risky than Davenport Core. It trades about 0.07 of its potential returns per unit of risk. Davenport E Fund is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest 3,659 in Davenport E Fund on September 4, 2024 and sell it today you would earn a total of 221.00 from holding Davenport E Fund or generate 6.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
Western Asset Diversified vs. Davenport E Fund
Performance |
| Timeline |
| Western Asset Diversified |
| Davenport E Fund |
Western Asset and Davenport Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Davenport Core
The main advantage of trading using opposite Western Asset and Davenport Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Davenport Core 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 Davenport Core will offset losses from the drop in Davenport Core's long position.| Western Asset vs. Dreyfusstandish Global Fixed | Western Asset vs. Franklin Mutual Global | Western Asset vs. Commonwealth Global Fund | Western Asset vs. Scharf Global Opportunity |
| Davenport Core vs. Calamos Market Neutral | Davenport Core vs. Oklahoma College Savings | Davenport Core vs. Western Assets Emerging | Davenport Core vs. Legg Mason Partners |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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