Correlation Between Pimco Extended and Catalyst/millburn

Can any of the company-specific risk be diversified away by investing in both Pimco Extended and Catalyst/millburn 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 Pimco Extended and Catalyst/millburn into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Pimco Extended Duration and Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Pimco Extended and Catalyst/millburn 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 Pimco Extended with a short position of Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Extended and Catalyst/millburn.

Diversification Opportunities for Pimco Extended and Catalyst/millburn

-0.07

Correlation Coefficient

Pimco Extended  Catalyst/millburn

Good diversification

The 3 months correlation between Pimco and Catalyst/millburn is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Extended Duration and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge and Pimco Extended 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 Pimco Extended Duration are associated (or correlated) with Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Pimco Extended i.e., Pimco Extended and Catalyst/millburn go up and down completely randomly.

Pair Corralation between Pimco Extended and Catalyst/millburn

Assuming the 90 days horizon Pimco Extended Duration is expected to generate 18.66 times more return on investment than Catalyst/millburn. However, Pimco Extended is 18.66 times more volatile than Catalystmillburn Hedge Strategy. It trades about 0.03 of its potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about 0.04 per unit of risk. If you would invest  1,600  in Pimco Extended Duration on October 26, 2024 and sell it today you would lose (338.00) from holding Pimco Extended Duration or give up 21.12% of portfolio value over 90 days.

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

Pimco Extended Duration  vs.  Catalystmillburn Hedge Strateg

Pimco Extended Duration

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Pimco Extended Duration has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Catalystmillburn Hedge

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Catalystmillburn Hedge Strategy are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Catalyst/millburn is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Pimco Extended and Catalyst/millburn

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

The idea behind Pimco Extended Duration and Catalystmillburn Hedge Strategy 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 Transaction History module to view history of all your transactions and understand their impact on performance.