Correlation Between International Drawdown and FT Vest

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

By analyzing existing cross correlation between International Drawdown Managed and FT Vest Dow, you can compare the effects of market volatilities on International Drawdown and FT Vest 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 International Drawdown with a short position of FT Vest. Check out your portfolio center. Please also check ongoing floating volatility patterns of International Drawdown and FT Vest.

Diversification Opportunities for International Drawdown and FT Vest

-0.68

Correlation Coefficient

International Drawdown  FT Vest

Excellent diversification

The 3 months correlation between International and FDND is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding International Drawdown Managed and FT Vest Dow in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FT Vest Dow and International Drawdown 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 International Drawdown Managed are associated (or correlated) with FT Vest. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FT Vest Dow has no effect on the direction of International Drawdown i.e., International Drawdown and FT Vest go up and down completely randomly.

Pair Corralation between International Drawdown and FT Vest

Given the investment horizon of 90 days International Drawdown is expected to generate 4.11 times less return on investment than FT Vest. But when comparing it to its historical volatility, International Drawdown Managed is 1.63 times less risky than FT Vest. It trades about 0.03 of its potential returns per unit of risk. FT Vest Dow is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  1,921  in FT Vest Dow on October 11, 2024 and sell it today you would earn a total of  340.00  from holding FT Vest Dow or generate 17.7% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	40.81%
Values	Daily Returns

International Drawdown Managed  vs.  FT Vest Dow

International Drawdown

Risk-Adjusted Performance

0 of 100

Very Weak

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

FT Vest Dow

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in FT Vest Dow are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. In spite of rather weak basic indicators, FT Vest may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with International Drawdown and FT Vest

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

The idea behind International Drawdown Managed and FT Vest Dow 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.