Correlation Between Fam Value and Common Stock
Can any of the company-specific risk be diversified away by investing in both Fam Value and Common Stock 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 Fam Value and Common Stock into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fam Value Fund and Common Stock Fund, you can compare the effects of market volatilities on Fam Value and Common Stock 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 Fam Value with a short position of Common Stock. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fam Value and Common Stock.
Diversification Opportunities for Fam Value and Common Stock
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between FAM and Common is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Fam Value Fund and Common Stock Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Common Stock and Fam 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 Fam Value Fund are associated (or correlated) with Common Stock. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Common Stock has no effect on the direction of Fam Value i.e., Fam Value and Common Stock go up and down completely randomly.
Pair Corralation between Fam Value and Common Stock
Assuming the 90 days horizon Fam Value Fund is expected to generate 0.83 times more return on investment than Common Stock. However, Fam Value Fund is 1.21 times less risky than Common Stock. It trades about 0.1 of its potential returns per unit of risk. Common Stock Fund is currently generating about 0.08 per unit of risk. If you would invest 8,372 in Fam Value Fund on September 1, 2024 and sell it today you would earn a total of 2,861 from holding Fam Value Fund or generate 34.17% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.73% |
| Values | Daily Returns |
Fam Value Fund vs. Common Stock Fund
Performance |
| Timeline |
| Fam Value Fund |
| Common Stock |
Fam Value and Common Stock Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fam Value and Common Stock
The main advantage of trading using opposite Fam Value and Common Stock positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fam Value position performs unexpectedly, Common Stock 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 Common Stock will offset losses from the drop in Common Stock's long position.| Fam Value vs. Fam Equity Income Fund | Fam Value vs. Meridian Growth Fund | Fam Value vs. Muhlenkamp Fund Institutional | Fam Value vs. Madison Mid Cap |
| Common Stock vs. Large Cap Fund | Common Stock vs. Madison Mid Cap | Common Stock vs. Royce Premier Fund | Common Stock vs. The Jensen Portfolio |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Equity Search Search for actively traded equities including funds and ETFs from over 30 global markets | |
| Fundamental Analysis View fundamental data based on most recent published financial statements | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm |