Correlation Between Artisan Value and Artisan Focus
Can any of the company-specific risk be diversified away by investing in both Artisan Value and Artisan Focus 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 Artisan Value and Artisan Focus into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Artisan Value Fund and Artisan Focus, you can compare the effects of market volatilities on Artisan Value and Artisan Focus 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 Artisan Value with a short position of Artisan Focus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Artisan Value and Artisan Focus.
Diversification Opportunities for Artisan Value and Artisan Focus
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Artisan and Artisan is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Artisan Value Fund and Artisan Focus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Artisan Focus and Artisan 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 Artisan Value Fund are associated (or correlated) with Artisan Focus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Artisan Focus has no effect on the direction of Artisan Value i.e., Artisan Value and Artisan Focus go up and down completely randomly.
Pair Corralation between Artisan Value and Artisan Focus
Assuming the 90 days horizon Artisan Value is expected to generate 1.26 times less return on investment than Artisan Focus. But when comparing it to its historical volatility, Artisan Value Fund is 1.55 times less risky than Artisan Focus. It trades about 0.2 of its potential returns per unit of risk. Artisan Focus is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 2,428 in Artisan Focus on August 26, 2024 and sell it today you would earn a total of 94.00 from holding Artisan Focus or generate 3.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Artisan Value Fund vs. Artisan Focus
Performance |
| Timeline |
| Artisan Value |
| Artisan Focus |
Artisan Value and Artisan Focus Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Artisan Value and Artisan Focus
The main advantage of trading using opposite Artisan Value and Artisan Focus positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Artisan Value position performs unexpectedly, Artisan Focus 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 Artisan Focus will offset losses from the drop in Artisan Focus' long position.| Artisan Value vs. Artisan Select Equity | Artisan Value vs. Artisan Developing World | Artisan Value vs. Artisan Focus | Artisan Value vs. Artisan Small Cap |
| Artisan Focus vs. Artisan Select Equity | Artisan Focus vs. Artisan Developing World | Artisan Focus vs. Artisan Small Cap | Artisan Focus vs. Artisan Select Equity |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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