Correlation Between SOFR and 19123MAF0
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By analyzing existing cross correlation between SOFR and CCEP 15 15 JAN 27, you can compare the effects of market volatilities on SOFR and 19123MAF0 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 SOFR with a short position of 19123MAF0. Check out your portfolio center. Please also check ongoing floating volatility patterns of SOFR and 19123MAF0.
Diversification Opportunities for SOFR and 19123MAF0
Poor diversification
The 3 months correlation between SOFR and 19123MAF0 is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding SOFR and CCEP 15 15 JAN 27 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CCEP 15 15 and SOFR 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 SOFR are associated (or correlated) with 19123MAF0. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CCEP 15 15 has no effect on the direction of SOFR i.e., SOFR and 19123MAF0 go up and down completely randomly.
Pair Corralation between SOFR and 19123MAF0
Given the investment horizon of 90 days SOFR is expected to generate 0.05 times more return on investment than 19123MAF0. However, SOFR is 19.68 times less risky than 19123MAF0. It trades about 0.67 of its potential returns per unit of risk. CCEP 15 15 JAN 27 is currently generating about -0.04 per unit of risk. If you would invest 9,809 in SOFR on September 24, 2024 and sell it today you would earn a total of 241.00 from holding SOFR or generate 2.46% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 33.86% |
Values | Daily Returns |
SOFR vs. CCEP 15 15 JAN 27
Performance |
Timeline |
SOFR |
CCEP 15 15 |
SOFR and 19123MAF0 Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SOFR and 19123MAF0
The main advantage of trading using opposite SOFR and 19123MAF0 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SOFR position performs unexpectedly, 19123MAF0 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 19123MAF0 will offset losses from the drop in 19123MAF0's long position.SOFR vs. Valued Advisers Trust | SOFR vs. Columbia Diversified Fixed | SOFR vs. Principal Exchange Traded Funds | SOFR vs. MFS Active Exchange |
19123MAF0 vs. BCB Bancorp | 19123MAF0 vs. KeyCorp | 19123MAF0 vs. PennantPark Floating Rate | 19123MAF0 vs. GAMCO Global Gold |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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