Correlation Between Enhanced Fixed and Neuberger Berman

Can any of the company-specific risk be diversified away by investing in both Enhanced Fixed and Neuberger Berman 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 Enhanced Fixed and Neuberger Berman into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Enhanced Fixed Income and Neuberger Berman Core, you can compare the effects of market volatilities on Enhanced Fixed and Neuberger Berman 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 Enhanced Fixed with a short position of Neuberger Berman. Check out your portfolio center. Please also check ongoing floating volatility patterns of Enhanced Fixed and Neuberger Berman.

Diversification Opportunities for Enhanced Fixed and Neuberger Berman

0.68

Correlation Coefficient

Enhanced Fixed  Neuberger Berman

Poor diversification

The 3 months correlation between Enhanced and Neuberger is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Enhanced Fixed Income and Neuberger Berman Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Neuberger Berman Core and Enhanced Fixed 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 Enhanced Fixed Income are associated (or correlated) with Neuberger Berman. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Neuberger Berman Core has no effect on the direction of Enhanced Fixed i.e., Enhanced Fixed and Neuberger Berman go up and down completely randomly.

Pair Corralation between Enhanced Fixed and Neuberger Berman

Assuming the 90 days horizon Enhanced Fixed Income is expected to generate 1.28 times more return on investment than Neuberger Berman. However, Enhanced Fixed is 1.28 times more volatile than Neuberger Berman Core. It trades about -0.05 of its potential returns per unit of risk. Neuberger Berman Core is currently generating about -0.16 per unit of risk. If you would invest  1,009  in Enhanced Fixed Income on October 10, 2024 and sell it today you would lose (11.00) from holding Enhanced Fixed Income or give up 1.09% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Enhanced Fixed Income  vs.  Neuberger Berman Core

Enhanced Fixed Income

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Enhanced Fixed Income has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Enhanced Fixed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Neuberger Berman Core

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Neuberger Berman Core has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Neuberger Berman is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Enhanced Fixed and Neuberger Berman

The main advantage of trading using opposite Enhanced Fixed and Neuberger Berman positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Enhanced Fixed position performs unexpectedly, Neuberger Berman 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 Neuberger Berman will offset losses from the drop in Neuberger Berman's long position.

The idea behind Enhanced Fixed Income and Neuberger Berman Core pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.