Correlation Between SSGA Active and DoubleLine Shiller

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

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

Diversification Opportunities for SSGA Active and DoubleLine Shiller

0.16

Correlation Coefficient

SSGA Active  DoubleLine Shiller

Average diversification

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

Pair Corralation between SSGA Active and DoubleLine Shiller

Given the investment horizon of 90 days SSGA Active is expected to generate 6.05 times less return on investment than DoubleLine Shiller. But when comparing it to its historical volatility, SSGA Active Trust is 4.59 times less risky than DoubleLine Shiller. It trades about 0.07 of its potential returns per unit of risk. DoubleLine Shiller CAPE is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  2,102  in DoubleLine Shiller CAPE on September 25, 2024 and sell it today you would earn a total of  928.00  from holding DoubleLine Shiller CAPE or generate 44.15% return on investment over 90 days.

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

SSGA Active Trust  vs.  DoubleLine Shiller CAPE

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.

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.

Pair Trading with SSGA Active and DoubleLine Shiller

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

The idea behind SSGA Active Trust and DoubleLine Shiller CAPE 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.