Correlation Between Undiscovered Managers and Doubleline Shiller

Can any of the company-specific risk be diversified away by investing in both Undiscovered Managers and Doubleline Shiller 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 Undiscovered Managers and Doubleline Shiller into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Undiscovered Managers Behavioral and Doubleline Shiller Enhanced, you can compare the effects of market volatilities on Undiscovered Managers and Doubleline Shiller 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 Undiscovered Managers with a short position of Doubleline Shiller. Check out your portfolio center. Please also check ongoing floating volatility patterns of Undiscovered Managers and Doubleline Shiller.

Diversification Opportunities for Undiscovered Managers and Doubleline Shiller

0.65

Correlation Coefficient

Undiscovered Managers  Doubleline Shiller

Poor diversification

The 3 months correlation between Undiscovered and Doubleline is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Undiscovered Managers Behavior and Doubleline Shiller Enhanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Doubleline Shiller and Undiscovered Managers 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 Undiscovered Managers Behavioral are associated (or correlated) with Doubleline Shiller. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Doubleline Shiller has no effect on the direction of Undiscovered Managers i.e., Undiscovered Managers and Doubleline Shiller go up and down completely randomly.

Pair Corralation between Undiscovered Managers and Doubleline Shiller

Assuming the 90 days horizon Undiscovered Managers Behavioral is expected to under-perform the Doubleline Shiller. In addition to that, Undiscovered Managers is 1.38 times more volatile than Doubleline Shiller Enhanced. It trades about -0.18 of its total potential returns per unit of risk. Doubleline Shiller Enhanced is currently generating about -0.02 per unit of volatility. If you would invest  1,626  in Doubleline Shiller Enhanced on December 2, 2024 and sell it today you would lose (18.00) from holding Doubleline Shiller Enhanced or give up 1.11% of portfolio value over 90 days.

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

Undiscovered Managers Behavior  vs.  Doubleline Shiller Enhanced

Undiscovered Managers

Risk-Adjusted Performance

Very Weak

Over the last 90 days Undiscovered Managers Behavioral has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Doubleline Shiller

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Undiscovered Managers and Doubleline Shiller

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

The idea behind Undiscovered Managers Behavioral and Doubleline Shiller Enhanced 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.