Correlation Between DoubleLine Shiller and SSGA Active

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

By analyzing existing cross correlation between DoubleLine Shiller CAPE and SSGA Active Trust, you can compare the effects of market volatilities on DoubleLine Shiller and SSGA 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 DoubleLine Shiller with a short position of SSGA Active. Check out your portfolio center. Please also check ongoing floating volatility patterns of DoubleLine Shiller and SSGA Active.

Diversification Opportunities for DoubleLine Shiller and SSGA Active

0.16

Correlation Coefficient

DoubleLine Shiller  SSGA Active

Average diversification

The 3 months correlation between DoubleLine and SSGA is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding DoubleLine Shiller CAPE and SSGA Active Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SSGA Active Trust and DoubleLine Shiller 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 DoubleLine Shiller CAPE are associated (or correlated) with SSGA Active. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SSGA Active Trust has no effect on the direction of DoubleLine Shiller i.e., DoubleLine Shiller and SSGA Active go up and down completely randomly.

Pair Corralation between DoubleLine Shiller and SSGA Active

Given the investment horizon of 90 days DoubleLine Shiller CAPE is expected to under-perform the SSGA Active. In addition to that, DoubleLine Shiller is 3.63 times more volatile than SSGA Active Trust. It trades about -0.33 of its total potential returns per unit of risk. SSGA Active Trust is currently generating about -0.29 per unit of volatility. If you would invest  2,968  in SSGA Active Trust on September 25, 2024 and sell it today you would lose (35.00) from holding SSGA Active Trust or give up 1.18% of portfolio value over 90 days.

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

DoubleLine Shiller CAPE  vs.  SSGA Active Trust

DoubleLine Shiller CAPE

Risk-Adjusted Performance

5 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in DoubleLine Shiller CAPE are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of rather sound basic indicators, DoubleLine Shiller is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

SSGA Active Trust

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SSGA Active Trust has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, SSGA Active is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with DoubleLine Shiller and SSGA Active

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

The idea behind DoubleLine Shiller CAPE and SSGA Active Trust 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 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.