Correlation Between Quantitative and Western Asset
Can any of the company-specific risk be diversified away by investing in both Quantitative and Western Asset 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 Quantitative and Western Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Quantitative Longshort Equity and Western Asset High, you can compare the effects of market volatilities on Quantitative and Western Asset 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 Quantitative with a short position of Western Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Quantitative and Western Asset.
Diversification Opportunities for Quantitative and Western Asset
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Quantitative and Western is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity and Western Asset High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Western Asset High and Quantitative 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 Quantitative Longshort Equity are associated (or correlated) with Western Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Western Asset High has no effect on the direction of Quantitative i.e., Quantitative and Western Asset go up and down completely randomly.
Pair Corralation between Quantitative and Western Asset
Assuming the 90 days horizon Quantitative Longshort Equity is expected to under-perform the Western Asset. In addition to that, Quantitative is 13.49 times more volatile than Western Asset High. It trades about -0.24 of its total potential returns per unit of risk. Western Asset High is currently generating about -0.34 per unit of volatility. If you would invest 697.00 in Western Asset High on October 4, 2024 and sell it today you would lose (7.00) from holding Western Asset High or give up 1.0% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Quantitative Longshort Equity vs. Western Asset High
Performance |
Timeline |
Quantitative Longshort |
Western Asset High |
Quantitative and Western Asset Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Quantitative and Western Asset
The main advantage of trading using opposite Quantitative and Western Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Quantitative position performs unexpectedly, Western Asset 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 Western Asset will offset losses from the drop in Western Asset's long position.Quantitative vs. Ab Small Cap | Quantitative vs. Ab Small Cap | Quantitative vs. Kinetics Small Cap | Quantitative vs. Tax Managed Mid Small |
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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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
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