Correlation Between Virtus Dfa and Procter Gamble

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

By analyzing existing cross correlation between Virtus Dfa 2040 and Procter Gamble, you can compare the effects of market volatilities on Virtus Dfa and Procter Gamble 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 Dfa with a short position of Procter Gamble. Check out your portfolio center. Please also check ongoing floating volatility patterns of Virtus Dfa and Procter Gamble.

Diversification Opportunities for Virtus Dfa and Procter Gamble

0.28

Correlation Coefficient

Virtus Dfa  Procter Gamble

Modest diversification

The 3 months correlation between Virtus and Procter is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Dfa 2040 and Procter Gamble in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Procter Gamble and Virtus Dfa 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 Dfa 2040 are associated (or correlated) with Procter Gamble. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Procter Gamble has no effect on the direction of Virtus Dfa i.e., Virtus Dfa and Procter Gamble go up and down completely randomly.

Pair Corralation between Virtus Dfa and Procter Gamble

Assuming the 90 days horizon Virtus Dfa 2040 is expected to under-perform the Procter Gamble. In addition to that, Virtus Dfa is 1.63 times more volatile than Procter Gamble. It trades about -0.11 of its total potential returns per unit of risk. Procter Gamble is currently generating about 0.0 per unit of volatility. If you would invest  16,614  in Procter Gamble on October 5, 2024 and sell it today you would lose (16.00) from holding Procter Gamble or give up 0.1% of portfolio value over 90 days.

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

Virtus Dfa 2040  vs.  Procter Gamble

Virtus Dfa 2040

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Virtus Dfa 2040 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.

Procter Gamble

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Procter Gamble has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable technical and fundamental indicators, Procter Gamble is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Virtus Dfa and Procter Gamble

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

The idea behind Virtus Dfa 2040 and Procter Gamble 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.

Check out your portfolio center.

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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.