Correlation Between Parametric International and Credit Suisse

Can any of the company-specific risk be diversified away by investing in both Parametric International and Credit Suisse 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 Parametric International and Credit Suisse into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Parametric International Equity and Credit Suisse Multialternative, you can compare the effects of market volatilities on Parametric International and Credit Suisse 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 Parametric International with a short position of Credit Suisse. Check out your portfolio center. Please also check ongoing floating volatility patterns of Parametric International and Credit Suisse.

Diversification Opportunities for Parametric International and Credit Suisse

0.74

Correlation Coefficient

Parametric International  Credit Suisse

Poor diversification

The 3 months correlation between Parametric and Credit is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Parametric International Equit and Credit Suisse Multialternative in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Credit Suisse Multia and Parametric International 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 Parametric International Equity are associated (or correlated) with Credit Suisse. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Credit Suisse Multia has no effect on the direction of Parametric International i.e., Parametric International and Credit Suisse go up and down completely randomly.

Pair Corralation between Parametric International and Credit Suisse

Assuming the 90 days horizon Parametric International Equity is expected to generate 0.44 times more return on investment than Credit Suisse. However, Parametric International Equity is 2.27 times less risky than Credit Suisse. It trades about -0.31 of its potential returns per unit of risk. Credit Suisse Multialternative is currently generating about -0.21 per unit of risk. If you would invest  1,490  in Parametric International Equity on October 9, 2024 and sell it today you would lose (109.00) from holding Parametric International Equity or give up 7.32% of portfolio value over 90 days.

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

Parametric International Equit  vs.  Credit Suisse Multialternative

Parametric International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Parametric International Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Credit Suisse Multia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Credit Suisse Multialternative has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Parametric International and Credit Suisse

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

The idea behind Parametric International Equity and Credit Suisse Multialternative 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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.