Correlation Between SOFR and 78409VBK9
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By analyzing existing cross correlation between SOFR and SPGI 29 01 MAR 32, you can compare the effects of market volatilities on SOFR and 78409VBK9 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 78409VBK9. Check out your portfolio center. Please also check ongoing floating volatility patterns of SOFR and 78409VBK9.
Diversification Opportunities for SOFR and 78409VBK9
Excellent diversification
The 3 months correlation between SOFR and 78409VBK9 is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding SOFR and SPGI 29 01 MAR 32 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPGI 29 01 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 78409VBK9. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPGI 29 01 has no effect on the direction of SOFR i.e., SOFR and 78409VBK9 go up and down completely randomly.
Pair Corralation between SOFR and 78409VBK9
Given the investment horizon of 90 days SOFR is expected to generate 0.36 times more return on investment than 78409VBK9. However, SOFR is 2.79 times less risky than 78409VBK9. It trades about 0.14 of its potential returns per unit of risk. SPGI 29 01 MAR 32 is currently generating about -0.12 per unit of risk. If you would invest 10,012 in SOFR on September 26, 2024 and sell it today you would earn a total of 40.00 from holding SOFR or generate 0.4% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 95.45% |
Values | Daily Returns |
SOFR vs. SPGI 29 01 MAR 32
Performance |
Timeline |
SOFR |
SPGI 29 01 |
SOFR and 78409VBK9 Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with SOFR and 78409VBK9
The main advantage of trading using opposite SOFR and 78409VBK9 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SOFR position performs unexpectedly, 78409VBK9 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 78409VBK9 will offset losses from the drop in 78409VBK9's long position.SOFR vs. Vanguard Total Stock | SOFR vs. SPDR SP 500 | SOFR vs. iShares Core SP | SOFR vs. Vanguard Total Bond |
78409VBK9 vs. Employers Holdings | 78409VBK9 vs. Atlantic American | 78409VBK9 vs. Valhi Inc | 78409VBK9 vs. Direct Line Insurance |
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 Stocks Directory module to find actively traded stocks across global markets.
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