Correlation Between Catalyst/millburn and Catalyst Hedged
Can any of the company-specific risk be diversified away by investing in both Catalyst/millburn and Catalyst Hedged 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 Catalyst/millburn and Catalyst Hedged into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Catalystmillburn Hedge Strategy and Catalyst Hedged Modity, you can compare the effects of market volatilities on Catalyst/millburn and Catalyst Hedged 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 Catalyst/millburn with a short position of Catalyst Hedged. Check out your portfolio center. Please also check ongoing floating volatility patterns of Catalyst/millburn and Catalyst Hedged.
Diversification Opportunities for Catalyst/millburn and Catalyst Hedged
0.05 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Catalyst/millburn and Catalyst is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Catalystmillburn Hedge Strateg and Catalyst Hedged Modity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalyst Hedged Modity and Catalyst/millburn 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 Catalystmillburn Hedge Strategy are associated (or correlated) with Catalyst Hedged. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalyst Hedged Modity has no effect on the direction of Catalyst/millburn i.e., Catalyst/millburn and Catalyst Hedged go up and down completely randomly.
Pair Corralation between Catalyst/millburn and Catalyst Hedged
Assuming the 90 days horizon Catalyst/millburn is expected to generate 1.47 times less return on investment than Catalyst Hedged. But when comparing it to its historical volatility, Catalystmillburn Hedge Strategy is 1.34 times less risky than Catalyst Hedged. It trades about 0.4 of its potential returns per unit of risk. Catalyst Hedged Modity is currently generating about 0.44 of returns per unit of risk over similar time horizon. If you would invest 829.00 in Catalyst Hedged Modity on October 20, 2024 and sell it today you would earn a total of 51.00 from holding Catalyst Hedged Modity or generate 6.15% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Catalystmillburn Hedge Strateg vs. Catalyst Hedged Modity
Performance |
Timeline |
Catalystmillburn Hedge |
Catalyst Hedged Modity |
Catalyst/millburn and Catalyst Hedged Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Catalyst/millburn and Catalyst Hedged
The main advantage of trading using opposite Catalyst/millburn and Catalyst Hedged positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Catalyst/millburn position performs unexpectedly, Catalyst Hedged 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 Catalyst Hedged will offset losses from the drop in Catalyst Hedged's long position.Catalyst/millburn vs. Invesco Technology Fund | Catalyst/millburn vs. Dreyfus Technology Growth | Catalyst/millburn vs. Goldman Sachs Technology | Catalyst/millburn vs. Firsthand Technology Opportunities |
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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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