Correlation Between Sun Life and DTF Tax
Can any of the company-specific risk be diversified away by investing in both Sun Life and DTF Tax 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 Sun Life and DTF Tax into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sun Life Financial and DTF Tax Free, you can compare the effects of market volatilities on Sun Life and DTF Tax 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 Sun Life with a short position of DTF Tax. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sun Life and DTF Tax.
Diversification Opportunities for Sun Life and DTF Tax
Very good diversification
The 3 months correlation between Sun and DTF is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Sun Life Financial and DTF Tax Free in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DTF Tax Free and Sun Life 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 Sun Life Financial are associated (or correlated) with DTF Tax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DTF Tax Free has no effect on the direction of Sun Life i.e., Sun Life and DTF Tax go up and down completely randomly.
Pair Corralation between Sun Life and DTF Tax
Considering the 90-day investment horizon Sun Life Financial is expected to under-perform the DTF Tax. In addition to that, Sun Life is 3.4 times more volatile than DTF Tax Free. It trades about -0.07 of its total potential returns per unit of risk. DTF Tax Free is currently generating about 0.03 per unit of volatility. If you would invest 1,080 in DTF Tax Free on February 26, 2024 and sell it today you would earn a total of 6.00 from holding DTF Tax Free or generate 0.56% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 98.46% |
Values | Daily Returns |
Sun Life Financial vs. DTF Tax Free
Performance |
Timeline |
Sun Life Financial |
DTF Tax Free |
Sun Life and DTF Tax Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Sun Life and DTF Tax
The main advantage of trading using opposite Sun Life and DTF Tax positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sun Life position performs unexpectedly, DTF Tax 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 DTF Tax will offset losses from the drop in DTF Tax's long position.Sun Life vs. Hartford Financial Services | Sun Life vs. Goosehead Insurance | Sun Life vs. International General Insurance | Sun Life vs. Enstar Group Limited |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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