Correlation Between Chestnut Street and Dreyfus Municipal
Can any of the company-specific risk be diversified away by investing in both Chestnut Street and Dreyfus Municipal 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 Chestnut Street and Dreyfus Municipal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Chestnut Street Exchange and Dreyfus Municipal Bond, you can compare the effects of market volatilities on Chestnut Street and Dreyfus Municipal 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 Chestnut Street with a short position of Dreyfus Municipal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Chestnut Street and Dreyfus Municipal.
Diversification Opportunities for Chestnut Street and Dreyfus Municipal
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Chestnut and Dreyfus is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Chestnut Street Exchange and Dreyfus Municipal Bond in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dreyfus Municipal Bond and Chestnut Street 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 Chestnut Street Exchange are associated (or correlated) with Dreyfus Municipal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dreyfus Municipal Bond has no effect on the direction of Chestnut Street i.e., Chestnut Street and Dreyfus Municipal go up and down completely randomly.
Pair Corralation between Chestnut Street and Dreyfus Municipal
Assuming the 90 days horizon Chestnut Street Exchange is expected to under-perform the Dreyfus Municipal. In addition to that, Chestnut Street is 2.6 times more volatile than Dreyfus Municipal Bond. It trades about -0.29 of its total potential returns per unit of risk. Dreyfus Municipal Bond is currently generating about -0.29 per unit of volatility. If you would invest 1,229 in Dreyfus Municipal Bond on September 25, 2024 and sell it today you would lose (19.00) from holding Dreyfus Municipal Bond or give up 1.55% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Chestnut Street Exchange vs. Dreyfus Municipal Bond
Performance |
Timeline |
Chestnut Street Exchange |
Dreyfus Municipal Bond |
Chestnut Street and Dreyfus Municipal Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Chestnut Street and Dreyfus Municipal
The main advantage of trading using opposite Chestnut Street and Dreyfus Municipal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Chestnut Street position performs unexpectedly, Dreyfus Municipal 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 Dreyfus Municipal will offset losses from the drop in Dreyfus Municipal's long position.Chestnut Street vs. Iaadx | Chestnut Street vs. Leggmason Partners Institutional | Chestnut Street vs. Volumetric Fund Volumetric | Chestnut Street vs. Fa 529 Aggressive |
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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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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