Correlation Between Dfa World and Intal High

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

By analyzing existing cross correlation between Dfa World Ex and Intal High Relative, you can compare the effects of market volatilities on Dfa World and Intal High 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 Dfa World with a short position of Intal High. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dfa World and Intal High.

Diversification Opportunities for Dfa World and Intal High

0.53

Correlation Coefficient

Dfa World  Intal High

Very weak diversification

The 3 months correlation between Dfa and Intal is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding Dfa World Ex and Intal High Relative in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intal High Relative and Dfa World 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 Dfa World Ex are associated (or correlated) with Intal High. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intal High Relative has no effect on the direction of Dfa World i.e., Dfa World and Intal High go up and down completely randomly.

Pair Corralation between Dfa World and Intal High

Assuming the 90 days horizon Dfa World Ex is expected to generate 0.4 times more return on investment than Intal High. However, Dfa World Ex is 2.5 times less risky than Intal High. It trades about -0.07 of its potential returns per unit of risk. Intal High Relative is currently generating about -0.04 per unit of risk. If you would invest  866.00  in Dfa World Ex on September 13, 2024 and sell it today you would lose (13.00) from holding Dfa World Ex or give up 1.5% of portfolio value over 90 days.

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

Dfa World Ex  vs.  Intal High Relative

Dfa World Ex

Risk-Adjusted Performance

0 of 100

Very Weak

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

Intal High Relative

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Dfa World and Intal High

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

The idea behind Dfa World Ex and Intal High Relative 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 Transaction History module to view history of all your transactions and understand their impact on performance.