Correlation Between FactSet Research and CME
Can any of the company-specific risk be diversified away by investing in both FactSet Research and CME 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 FactSet Research and CME into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FactSet Research Systems and CME Group, you can compare the effects of market volatilities on FactSet Research and CME 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 FactSet Research with a short position of CME. Check out your portfolio center. Please also check ongoing floating volatility patterns of FactSet Research and CME.
Diversification Opportunities for FactSet Research and CME
-0.09 | Correlation Coefficient |
Good diversification
The 3 months correlation between FactSet and CME is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and CME Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CME Group and FactSet Research 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 FactSet Research Systems are associated (or correlated) with CME. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CME Group has no effect on the direction of FactSet Research i.e., FactSet Research and CME go up and down completely randomly.
Pair Corralation between FactSet Research and CME
Considering the 90-day investment horizon FactSet Research is expected to generate 1.75 times less return on investment than CME. In addition to that, FactSet Research is 1.14 times more volatile than CME Group. It trades about 0.0 of its total potential returns per unit of risk. CME Group is currently generating about 0.01 per unit of volatility. If you would invest 20,546 in CME Group on January 18, 2024 and sell it today you would earn a total of 102.00 from holding CME Group or generate 0.5% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
FactSet Research Systems vs. CME Group
Performance |
Timeline |
FactSet Research Systems |
CME Group |
FactSet Research and CME Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with FactSet Research and CME
The main advantage of trading using opposite FactSet Research and CME positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FactSet Research position performs unexpectedly, CME 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 CME will offset losses from the drop in CME's long position.FactSet Research vs. Dun Bradstreet Holdings | FactSet Research vs. Moodys | FactSet Research vs. MSCI Inc | FactSet Research vs. Intercontinental Exchange |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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