Correlation Between Value Fund and Chase Growth
Can any of the company-specific risk be diversified away by investing in both Value Fund and Chase Growth 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 Value Fund and Chase Growth into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Value Fund R5 and Chase Growth Fund, you can compare the effects of market volatilities on Value Fund and Chase Growth 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 Value Fund with a short position of Chase Growth. Check out your portfolio center. Please also check ongoing floating volatility patterns of Value Fund and Chase Growth.
Diversification Opportunities for Value Fund and Chase Growth
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Value and Chase is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund R5 and Chase Growth Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chase Growth and Value Fund 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 Value Fund R5 are associated (or correlated) with Chase Growth. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chase Growth has no effect on the direction of Value Fund i.e., Value Fund and Chase Growth go up and down completely randomly.
Pair Corralation between Value Fund and Chase Growth
Assuming the 90 days horizon Value Fund is expected to generate 2.43 times less return on investment than Chase Growth. But when comparing it to its historical volatility, Value Fund R5 is 1.67 times less risky than Chase Growth. It trades about 0.05 of its potential returns per unit of risk. Chase Growth Fund is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,040 in Chase Growth Fund on September 14, 2024 and sell it today you would earn a total of 447.00 from holding Chase Growth Fund or generate 42.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Value Fund R5 vs. Chase Growth Fund
Performance |
| Timeline |
| Value Fund R5 |
| Chase Growth |
Value Fund and Chase Growth Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Value Fund and Chase Growth
The main advantage of trading using opposite Value Fund and Chase Growth positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Value Fund position performs unexpectedly, Chase Growth 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 Chase Growth will offset losses from the drop in Chase Growth's long position.| Value Fund vs. T Rowe Price | Value Fund vs. Bbh Intermediate Municipal | Value Fund vs. Baird Strategic Municipal | Value Fund vs. Dws Government Money |
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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