Correlation Between Ab Value and Moderate Duration
Can any of the company-specific risk be diversified away by investing in both Ab Value and Moderate Duration 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 Ab Value and Moderate Duration into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Value Fund and Moderate Duration Fund, you can compare the effects of market volatilities on Ab Value and Moderate Duration 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 Ab Value with a short position of Moderate Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Value and Moderate Duration.
Diversification Opportunities for Ab Value and Moderate Duration
-0.51 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ABVCX and Moderate is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Ab Value Fund and Moderate Duration Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Moderate Duration and Ab Value 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 Ab Value Fund are associated (or correlated) with Moderate Duration. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Moderate Duration has no effect on the direction of Ab Value i.e., Ab Value and Moderate Duration go up and down completely randomly.
Pair Corralation between Ab Value and Moderate Duration
Assuming the 90 days horizon Ab Value Fund is expected to generate 3.12 times more return on investment than Moderate Duration. However, Ab Value is 3.12 times more volatile than Moderate Duration Fund. It trades about 0.11 of its potential returns per unit of risk. Moderate Duration Fund is currently generating about 0.08 per unit of risk. If you would invest 1,653 in Ab Value Fund on September 12, 2024 and sell it today you would earn a total of 354.00 from holding Ab Value Fund or generate 21.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.6% |
| Values | Daily Returns |
Ab Value Fund vs. Moderate Duration Fund
Performance |
| Timeline |
| Ab Value Fund |
| Moderate Duration |
Ab Value and Moderate Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Value and Moderate Duration
The main advantage of trading using opposite Ab Value and Moderate Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Value position performs unexpectedly, Moderate Duration 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 Moderate Duration will offset losses from the drop in Moderate Duration's long position.| Ab Value vs. Franklin Adjustable Government | Ab Value vs. Us Government Securities | Ab Value vs. Lord Abbett Government | Ab Value vs. Dunham Porategovernment Bond |
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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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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