Correlation Between NYLI MacKay and MFS Active

Can any of the company-specific risk be diversified away by investing in both NYLI MacKay and MFS Active 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 NYLI MacKay and MFS Active into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between NYLI MacKay Core and MFS Active Exchange, you can compare the effects of market volatilities on NYLI MacKay and MFS Active 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 NYLI MacKay with a short position of MFS Active. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYLI MacKay and MFS Active.

Diversification Opportunities for NYLI MacKay and MFS Active

-0.18

Correlation Coefficient

NYLI MacKay  MFS Active

Good diversification

The 3 months correlation between NYLI and MFS is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding NYLI MacKay Core and MFS Active Exchange in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MFS Active Exchange and NYLI MacKay 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 NYLI MacKay Core are associated (or correlated) with MFS Active. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MFS Active Exchange has no effect on the direction of NYLI MacKay i.e., NYLI MacKay and MFS Active go up and down completely randomly.

Pair Corralation between NYLI MacKay and MFS Active

Given the investment horizon of 90 days NYLI MacKay Core is expected to generate 0.86 times more return on investment than MFS Active. However, NYLI MacKay Core is 1.16 times less risky than MFS Active. It trades about -0.41 of its potential returns per unit of risk. MFS Active Exchange is currently generating about -0.49 per unit of risk. If you would invest  2,114  in NYLI MacKay Core on October 11, 2024 and sell it today you would lose (38.00) from holding NYLI MacKay Core or give up 1.8% of portfolio value over 90 days.

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

NYLI MacKay Core  vs.  MFS Active Exchange

NYLI MacKay Core

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days NYLI MacKay Core has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong essential indicators, NYLI MacKay is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

MFS Active Exchange

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in MFS Active Exchange are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Despite somewhat abnormal basic indicators, MFS Active sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with NYLI MacKay and MFS Active

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

The idea behind NYLI MacKay Core and MFS Active Exchange 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.