Correlation Between SPDR BOFA and Virtus Duff

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

By analyzing existing cross correlation between SPDR BOFA MERRILL and Virtus Duff Phelps, you can compare the effects of market volatilities on SPDR BOFA and Virtus Duff 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 SPDR BOFA with a short position of Virtus Duff. Check out your portfolio center. Please also check ongoing floating volatility patterns of SPDR BOFA and Virtus Duff.

Diversification Opportunities for SPDR BOFA and Virtus Duff

-0.57

Correlation Coefficient

SPDR BOFA  Virtus Duff

Excellent diversification

The 3 months correlation between SPDR and Virtus is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding SPDR BOFA MERRILL and Virtus Duff Phelps in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Duff Phelps and SPDR BOFA 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 SPDR BOFA MERRILL are associated (or correlated) with Virtus Duff. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Duff Phelps has no effect on the direction of SPDR BOFA i.e., SPDR BOFA and Virtus Duff go up and down completely randomly.

Pair Corralation between SPDR BOFA and Virtus Duff

Given the investment horizon of 90 days SPDR BOFA MERRILL is expected to generate 1.22 times more return on investment than Virtus Duff. However, SPDR BOFA is 1.22 times more volatile than Virtus Duff Phelps. It trades about 0.2 of its potential returns per unit of risk. Virtus Duff Phelps is currently generating about 0.01 per unit of risk. If you would invest  1,514  in SPDR BOFA MERRILL on September 2, 2024 and sell it today you would earn a total of  328.00  from holding SPDR BOFA MERRILL or generate 21.66% return on investment over 90 days.

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

SPDR BOFA MERRILL  vs.  Virtus Duff Phelps

SPDR BOFA MERRILL

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in SPDR BOFA MERRILL are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, SPDR BOFA reported solid returns over the last few months and may actually be approaching a breakup point.

Virtus Duff Phelps

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Virtus Duff Phelps has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy essential indicators, Virtus Duff is not utilizing all of its potentials. The current stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with SPDR BOFA and Virtus Duff

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

The idea behind SPDR BOFA MERRILL and Virtus Duff Phelps 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.