Correlation Between Mainstay Short and Disciplined Value
Can any of the company-specific risk be diversified away by investing in both Mainstay Short and Disciplined Value 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 Mainstay Short and Disciplined Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mainstay Short Duration and Disciplined Value Series, you can compare the effects of market volatilities on Mainstay Short and Disciplined Value 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 Mainstay Short with a short position of Disciplined Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mainstay Short and Disciplined Value.
Diversification Opportunities for Mainstay Short and Disciplined Value
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Mainstay and Disciplined is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Mainstay Short Duration and Disciplined Value Series in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Disciplined Value Series and Mainstay Short 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 Mainstay Short Duration are associated (or correlated) with Disciplined Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Disciplined Value Series has no effect on the direction of Mainstay Short i.e., Mainstay Short and Disciplined Value go up and down completely randomly.
Pair Corralation between Mainstay Short and Disciplined Value
Assuming the 90 days horizon Mainstay Short is expected to generate 2.14 times less return on investment than Disciplined Value. But when comparing it to its historical volatility, Mainstay Short Duration is 5.69 times less risky than Disciplined Value. It trades about 0.22 of its potential returns per unit of risk. Disciplined Value Series is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 696.00 in Disciplined Value Series on September 9, 2024 and sell it today you would earn a total of 168.00 from holding Disciplined Value Series or generate 24.14% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Mainstay Short Duration vs. Disciplined Value Series
Performance |
Timeline |
Mainstay Short Duration |
Disciplined Value Series |
Mainstay Short and Disciplined Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Mainstay Short and Disciplined Value
The main advantage of trading using opposite Mainstay Short and Disciplined Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mainstay Short position performs unexpectedly, Disciplined Value 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 Disciplined Value will offset losses from the drop in Disciplined Value's long position.Mainstay Short vs. Transamerica Emerging Markets | Mainstay Short vs. Ab Global Bond | Mainstay Short vs. Barings Active Short | Mainstay Short vs. Ab Bond Inflation |
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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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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