Correlation Between Lumia and RiverNorth Managed

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

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

Diversification Opportunities for Lumia and RiverNorth Managed

-0.54

Correlation Coefficient

Lumia  RiverNorth Managed

Excellent diversification

The 3 months correlation between Lumia and RiverNorth is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding Lumia and RiverNorth Managed Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RiverNorth Managed and Lumia 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 Lumia are associated (or correlated) with RiverNorth Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RiverNorth Managed has no effect on the direction of Lumia i.e., Lumia and RiverNorth Managed go up and down completely randomly.

Pair Corralation between Lumia and RiverNorth Managed

Assuming the 90 days trading horizon Lumia is expected to under-perform the RiverNorth Managed. In addition to that, Lumia is 8.63 times more volatile than RiverNorth Managed Duration. It trades about -0.32 of its total potential returns per unit of risk. RiverNorth Managed Duration is currently generating about 0.48 per unit of volatility. If you would invest  1,474  in RiverNorth Managed Duration on October 25, 2024 and sell it today you would earn a total of  94.00  from holding RiverNorth Managed Duration or generate 6.38% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	90.48%
Values	Daily Returns

Lumia  vs.  RiverNorth Managed Duration

Lumia

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Lumia are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady fundamental indicators, Lumia exhibited solid returns over the last few months and may actually be approaching a breakup point.

RiverNorth Managed

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in RiverNorth Managed Duration are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong primary indicators, RiverNorth Managed is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Lumia and RiverNorth Managed

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

The idea behind Lumia and RiverNorth Managed Duration 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.