Correlation Between Fam Value and Moderate Duration
Can any of the company-specific risk be diversified away by investing in both Fam 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 Fam 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 Fam Value Fund and Moderate Duration Fund, you can compare the effects of market volatilities on Fam 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 Fam Value with a short position of Moderate Duration. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fam Value and Moderate Duration.
Diversification Opportunities for Fam Value and Moderate Duration
-0.57 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Fam and Moderate is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding Fam 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 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 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 Fam Value i.e., Fam Value and Moderate Duration go up and down completely randomly.
Pair Corralation between Fam Value and Moderate Duration
Assuming the 90 days horizon Fam Value Fund is expected to generate 3.17 times more return on investment than Moderate Duration. However, Fam Value is 3.17 times more volatile than Moderate Duration Fund. It trades about 0.06 of its potential returns per unit of risk. Moderate Duration Fund is currently generating about 0.06 per unit of risk. If you would invest 8,811 in Fam Value Fund on August 26, 2024 and sell it today you would earn a total of 2,285 from holding Fam Value Fund or generate 25.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fam Value Fund vs. Moderate Duration Fund
Performance |
| Timeline |
| Fam Value Fund |
| Moderate Duration |
Fam Value and Moderate Duration Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fam Value and Moderate Duration
The main advantage of trading using opposite Fam Value and Moderate Duration positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fam 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.| Fam Value vs. Fam Equity Income Fund | Fam Value vs. Meridian Growth Fund | Fam Value vs. Muhlenkamp Fund Institutional | Fam Value vs. Royce Pennsylvania Mutual |
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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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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