Two Equities Correlation Analysis
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MFEM
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This model provides you with a quick lookup of cross correlation between two equities. Please specify two instruments to run the correlation.
Diversification Opportunities for PIMCO RAFI and NYSE Composite
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between PIMCO and NYSE is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding PIMCO RAFI Dynamic and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite and PIMCO RAFI 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 PIMCO RAFI Dynamic are associated (or correlated) with NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of PIMCO RAFI i.e., PIMCO RAFI and NYSE Composite go up and down completely randomly.
Pair Corralation between PIMCO RAFI and NYSE Composite
Given the investment horizon of 90 days PIMCO RAFI is expected to generate 1.87 times less return on investment than NYSE Composite. But when comparing it to its historical volatility, PIMCO RAFI Dynamic is 1.08 times less risky than NYSE Composite. It trades about 0.01 of its potential returns per unit of risk. NYSE Composite is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 1,653,420 in NYSE Composite on December 30, 2023 and sell it today you would earn a total of 177,847 from holding NYSE Composite or generate 10.76% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
PIMCO RAFI Dynamic vs. NYSE Composite
Performance |
Timeline |
PIMCO RAFI and NYSE Composite Volatility Contrast
Predicted Return Density |
Returns |
PIMCO RAFI Dynamic
Pair trading matchups for PIMCO RAFI
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with PIMCO RAFI and NYSE Composite
The main advantage of trading using opposite PIMCO RAFI and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PIMCO RAFI position performs unexpectedly, NYSE Composite 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 NYSE Composite will offset losses from the drop in NYSE Composite's long position.PIMCO RAFI vs. Freedom Day Dividend | PIMCO RAFI vs. Franklin Templeton ETF | PIMCO RAFI vs. IShares MSCI China | PIMCO RAFI vs. YieldMax DIS Option |
NYSE Composite vs. Mediag3 | NYSE Composite vs. Douglas Emmett | NYSE Composite vs. United Homes Group | NYSE Composite vs. Reservoir Media |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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