Correlation Between Invesco SP and DoubleLine Shiller

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

By analyzing existing cross correlation between Invesco SP 500 and DoubleLine Shiller CAPE, you can compare the effects of market volatilities on Invesco SP 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 Invesco SP with a short position of DoubleLine Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco SP and DoubleLine Shiller.

Diversification Opportunities for Invesco SP and DoubleLine Shiller

0.87

Correlation Coefficient

Invesco SP  DoubleLine Shiller

Very poor diversification

The 3 months correlation between Invesco and DoubleLine is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Invesco SP 500 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 Invesco SP 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 Invesco SP 500 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 Invesco SP i.e., Invesco SP and DoubleLine Shiller go up and down completely randomly.

Pair Corralation between Invesco SP and DoubleLine Shiller

Considering the 90-day investment horizon Invesco SP is expected to generate 1.47 times less return on investment than DoubleLine Shiller. But when comparing it to its historical volatility, Invesco SP 500 is 1.06 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  2,075  in DoubleLine Shiller CAPE on September 24, 2024 and sell it today you would earn a total of  955.00  from holding DoubleLine Shiller CAPE or generate 46.02% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	99.8%
Values	Daily Returns

Invesco SP 500  vs.  DoubleLine Shiller CAPE

Invesco SP 500

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Invesco SP 500 has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable basic indicators, Invesco SP is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

DoubleLine Shiller CAPE

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in DoubleLine Shiller CAPE are ranked lower than 4 (%) 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 Invesco SP and DoubleLine Shiller

The main advantage of trading using opposite Invesco SP and DoubleLine Shiller positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco SP 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 Invesco SP 500 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.