Correlation Between SPDR DoubleLine and NYLI MacKay

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

By analyzing existing cross correlation between SPDR DoubleLine Total and NYLI MacKay Core, you can compare the effects of market volatilities on SPDR DoubleLine and NYLI MacKay 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 SPDR DoubleLine with a short position of NYLI MacKay. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR DoubleLine and NYLI MacKay.

Diversification Opportunities for SPDR DoubleLine and NYLI MacKay

0.92

Correlation Coefficient

SPDR DoubleLine  NYLI MacKay

Almost no diversification

The 3 months correlation between SPDR and NYLI is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding SPDR DoubleLine Total and NYLI MacKay Core in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYLI MacKay Core and SPDR DoubleLine 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 SPDR DoubleLine Total are associated (or correlated) with NYLI MacKay. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYLI MacKay Core has no effect on the direction of SPDR DoubleLine i.e., SPDR DoubleLine and NYLI MacKay go up and down completely randomly.

Pair Corralation between SPDR DoubleLine and NYLI MacKay

Given the investment horizon of 90 days SPDR DoubleLine Total is expected to generate 0.86 times more return on investment than NYLI MacKay. However, SPDR DoubleLine Total is 1.16 times less risky than NYLI MacKay. It trades about -0.54 of its potential returns per unit of risk. NYLI MacKay Core is currently generating about -0.47 per unit of risk. If you would invest  4,006  in SPDR DoubleLine Total on October 10, 2024 and sell it today you would lose (83.00) from holding SPDR DoubleLine Total or give up 2.07% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

SPDR DoubleLine Total  vs.  NYLI MacKay Core

SPDR DoubleLine Total

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SPDR DoubleLine Total has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent basic indicators, SPDR DoubleLine is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

NYLI MacKay Core

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days NYLI MacKay Core has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong essential indicators, NYLI MacKay is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with SPDR DoubleLine and NYLI MacKay

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

The idea behind SPDR DoubleLine Total and NYLI MacKay Core 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.