Correlation Between Pimco Trends and Grant Park

Can any of the company-specific risk be diversified away by investing in both Pimco Trends and Grant Park 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 Pimco Trends and Grant Park into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Pimco Trends Managed and Grant Park Multi, you can compare the effects of market volatilities on Pimco Trends and Grant Park 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 Pimco Trends with a short position of Grant Park. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pimco Trends and Grant Park.

Diversification Opportunities for Pimco Trends and Grant Park

0.74

Correlation Coefficient

Pimco Trends  Grant Park

Poor diversification

The 3 months correlation between Pimco and Grant is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Pimco Trends Managed and Grant Park Multi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grant Park Multi and Pimco Trends 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 Trends Managed are associated (or correlated) with Grant Park. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grant Park Multi has no effect on the direction of Pimco Trends i.e., Pimco Trends and Grant Park go up and down completely randomly.

Pair Corralation between Pimco Trends and Grant Park

Assuming the 90 days horizon Pimco Trends is expected to generate 1.24 times less return on investment than Grant Park. In addition to that, Pimco Trends is 1.81 times more volatile than Grant Park Multi. It trades about 0.1 of its total potential returns per unit of risk. Grant Park Multi is currently generating about 0.22 per unit of volatility. If you would invest  1,050  in Grant Park Multi on September 17, 2024 and sell it today you would earn a total of  12.00  from holding Grant Park Multi or generate 1.14% return on investment over 90 days.

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

Pimco Trends Managed  vs.  Grant Park Multi

Pimco Trends Managed

Risk-Adjusted Performance

0 of 100

Very Weak

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

Grant Park Multi

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Pimco Trends and Grant Park

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

The idea behind Pimco Trends Managed and Grant Park Multi 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.