Correlation Between Virtus Multi and High Yield

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Can any of the company-specific risk be diversified away by investing in both Virtus Multi and High Yield 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 Virtus Multi and High Yield into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Virtus Multi Sector Short and High Yield Fund R5, you can compare the effects of market volatilities on Virtus Multi and High Yield 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 Virtus Multi with a short position of High Yield. Check out your portfolio center. Please also check ongoing floating volatility patterns of Virtus Multi and High Yield.

Diversification Opportunities for Virtus Multi and High Yield

VirtusHighDiversified AwayVirtusHighDiversified Away100%
0.85
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Virtus and High is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Multi Sector Short and High Yield Fund R5 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on High Yield Fund and Virtus Multi 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 Virtus Multi Sector Short are associated (or correlated) with High Yield. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of High Yield Fund has no effect on the direction of Virtus Multi i.e., Virtus Multi and High Yield go up and down completely randomly.

Pair Corralation between Virtus Multi and High Yield

Assuming the 90 days horizon Virtus Multi Sector Short is expected to generate 0.73 times more return on investment than High Yield. However, Virtus Multi Sector Short is 1.37 times less risky than High Yield. It trades about -0.03 of its potential returns per unit of risk. High Yield Fund R5 is currently generating about -0.07 per unit of risk. If you would invest  455.00  in Virtus Multi Sector Short on September 23, 2024 and sell it today you would lose (1.00) from holding Virtus Multi Sector Short or give up 0.22% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Virtus Multi Sector Short  vs.  High Yield Fund R5

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec -0.8-0.6-0.4-0.20.00.20.4
JavaScript chart by amCharts 3.21.15VMSSX ACYIX
       Timeline  
Virtus Multi Sector 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Virtus Multi Sector Short has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Virtus Multi 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 3.21.15OctNovDecNovDec4.534.5354.544.5454.554.5554.564.5654.57
High Yield Fund 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days High Yield Fund R5 has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, High Yield 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 3.21.15OctNovDecNovDec5.075.085.095.15.115.125.135.145.15

Virtus Multi and High Yield Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-0.3-0.1-0.0683-0.035-0.003330.030.06330.09660.270.47 510152025
JavaScript chart by amCharts 3.21.15VMSSX ACYIX
       Returns  

Pair Trading with Virtus Multi and High Yield

The main advantage of trading using opposite Virtus Multi and High Yield positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Virtus Multi position performs unexpectedly, High Yield 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 High Yield will offset losses from the drop in High Yield's long position.
The idea behind Virtus Multi Sector Short and High Yield Fund R5 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.

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