Correlation Between SOFR and DTRGR

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

By analyzing existing cross correlation between SOFR and DTRGR 1625 13 DEC 24, you can compare the effects of market volatilities on SOFR and DTRGR 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 SOFR with a short position of DTRGR. Check out your portfolio center. Please also check ongoing floating volatility patterns of SOFR and DTRGR.

Diversification Opportunities for SOFR and DTRGR

0.99

Correlation Coefficient

SOFR  DTRGR

No risk reduction

The 3 months correlation between SOFR and DTRGR is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding SOFR and DTRGR 1625 13 DEC 24 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DTRGR 1625 13 and SOFR 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 SOFR are associated (or correlated) with DTRGR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DTRGR 1625 13 has no effect on the direction of SOFR i.e., SOFR and DTRGR go up and down completely randomly.

Pair Corralation between SOFR and DTRGR

Given the investment horizon of 90 days SOFR is expected to generate 0.87 times more return on investment than DTRGR. However, SOFR is 1.15 times less risky than DTRGR. It trades about 0.38 of its potential returns per unit of risk. DTRGR 1625 13 DEC 24 is currently generating about 0.05 per unit of risk. If you would invest  10,011  in SOFR on September 23, 2024 and sell it today you would earn a total of  39.00  from holding SOFR or generate 0.39% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	38.1%
Values	Daily Returns

SOFR  vs.  DTRGR 1625 13 DEC 24

SOFR

Risk-Adjusted Performance

38 of 100

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in SOFR are ranked lower than 38 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable technical and fundamental indicators, SOFR is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

DTRGR 1625 13

Risk-Adjusted Performance

35 of 100

Excellent

Compared to the overall equity markets, risk-adjusted returns on investments in DTRGR 1625 13 DEC 24 are ranked lower than 35 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, DTRGR is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with SOFR and DTRGR

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

The idea behind SOFR and DTRGR 1625 13 DEC 24 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.

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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.