Correlation Between Stone Ridge and Deutsche Real

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Can any of the company-specific risk be diversified away by investing in both Stone Ridge and Deutsche Real 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 Stone Ridge and Deutsche Real into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stone Ridge Diversified and Deutsche Real Assets, you can compare the effects of market volatilities on Stone Ridge and Deutsche Real 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 Stone Ridge with a short position of Deutsche Real. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stone Ridge and Deutsche Real.

Diversification Opportunities for Stone Ridge and Deutsche Real

StoneDeutscheDiversified AwayStoneDeutscheDiversified Away100%
-0.42
  Correlation Coefficient

Very good diversification

The 3 months correlation between Stone and Deutsche is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge Diversified and Deutsche Real Assets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Deutsche Real Assets and Stone Ridge 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 Stone Ridge Diversified are associated (or correlated) with Deutsche Real. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Deutsche Real Assets has no effect on the direction of Stone Ridge i.e., Stone Ridge and Deutsche Real go up and down completely randomly.

Pair Corralation between Stone Ridge and Deutsche Real

Assuming the 90 days horizon Stone Ridge Diversified is expected to generate 0.6 times more return on investment than Deutsche Real. However, Stone Ridge Diversified is 1.67 times less risky than Deutsche Real. It trades about 0.17 of its potential returns per unit of risk. Deutsche Real Assets is currently generating about -0.09 per unit of risk. If you would invest  1,111  in Stone Ridge Diversified on September 17, 2024 and sell it today you would earn a total of  35.00  from holding Stone Ridge Diversified or generate 3.15% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Stone Ridge Diversified  vs.  Deutsche Real Assets

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec -10123
JavaScript chart by amCharts 3.21.15SRDAX AAAZX
       Timeline  
Stone Ridge Diversified 

Risk-Adjusted Performance

13 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Stone Ridge Diversified are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Stone Ridge is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec1111.111.211.311.4
Deutsche Real Assets 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Deutsche Real Assets has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Deutsche Real is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec12.212.312.412.5

Stone Ridge and Deutsche Real Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-0.85-0.59-0.33-0.0924-0.0036970.09670.350.610.871.13 1234
JavaScript chart by amCharts 3.21.15SRDAX AAAZX
       Returns  

Pair Trading with Stone Ridge and Deutsche Real

The main advantage of trading using opposite Stone Ridge and Deutsche Real positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stone Ridge position performs unexpectedly, Deutsche Real 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 Deutsche Real will offset losses from the drop in Deutsche Real's long position.
The idea behind Stone Ridge Diversified and Deutsche Real Assets 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.

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