Correlation Between State Street and Virtus Nfj

Can any of the company-specific risk be diversified away by investing in both State Street and Virtus Nfj 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 State Street and Virtus Nfj into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between State Street Global and Virtus Nfj Large Cap, you can compare the effects of market volatilities on State Street and Virtus Nfj 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 State Street with a short position of Virtus Nfj. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and Virtus Nfj.

Diversification Opportunities for State Street and Virtus Nfj

-0.49

Correlation Coefficient

State Street  Virtus Nfj

Very good diversification

The 3 months correlation between State and Virtus is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding State Street Global and Virtus Nfj Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Nfj Large and State Street 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 State Street Global are associated (or correlated) with Virtus Nfj. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Nfj Large has no effect on the direction of State Street i.e., State Street and Virtus Nfj go up and down completely randomly.

Pair Corralation between State Street and Virtus Nfj

Assuming the 90 days horizon State Street Global is expected to generate 0.98 times more return on investment than Virtus Nfj. However, State Street Global is 1.02 times less risky than Virtus Nfj. It trades about 0.15 of its potential returns per unit of risk. Virtus Nfj Large Cap is currently generating about -0.24 per unit of risk. If you would invest  10,789  in State Street Global on September 18, 2024 and sell it today you would earn a total of  156.00  from holding State Street Global or generate 1.45% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	95.24%
Values	Daily Returns

State Street Global  vs.  Virtus Nfj Large Cap

State Street Global

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days State Street Global has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong essential indicators, State Street is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Virtus Nfj Large

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Nfj Large Cap are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Virtus Nfj is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with State Street and Virtus Nfj

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

The idea behind State Street Global and Virtus Nfj Large Cap 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.