Correlation Between Frost Kempner and Frost Total
Can any of the company-specific risk be diversified away by investing in both Frost Kempner and Frost Total 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 Frost Kempner and Frost Total into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frost Kempner Multi Cap and Frost Total Return, you can compare the effects of market volatilities on Frost Kempner and Frost Total 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 Frost Kempner with a short position of Frost Total. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frost Kempner and Frost Total.
Diversification Opportunities for Frost Kempner and Frost Total
-0.67 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Frost and Frost is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Multi Cap and Frost Total Return in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Frost Total Return and Frost Kempner 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 Frost Kempner Multi Cap are associated (or correlated) with Frost Total. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Frost Total Return has no effect on the direction of Frost Kempner i.e., Frost Kempner and Frost Total go up and down completely randomly.
Pair Corralation between Frost Kempner and Frost Total
Assuming the 90 days horizon Frost Kempner Multi Cap is expected to under-perform the Frost Total. In addition to that, Frost Kempner is 2.32 times more volatile than Frost Total Return. It trades about -0.03 of its total potential returns per unit of risk. Frost Total Return is currently generating about 0.11 per unit of volatility. If you would invest 981.00 in Frost Total Return on September 12, 2024 and sell it today you would earn a total of 5.00 from holding Frost Total Return or generate 0.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Frost Kempner Multi Cap vs. Frost Total Return
Performance |
| Timeline |
| Frost Kempner Multi |
| Frost Total Return |
Frost Kempner and Frost Total Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Frost Kempner and Frost Total
The main advantage of trading using opposite Frost Kempner and Frost Total positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frost Kempner position performs unexpectedly, Frost Total 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 Frost Total will offset losses from the drop in Frost Total's long position.| Frost Kempner vs. Simt Real Estate | Frost Kempner vs. Goldman Sachs Real | Frost Kempner vs. Redwood Real Estate | Frost Kempner vs. Commonwealth Real Estate |
| Frost Total vs. Baird Intermediate Bond | Frost Total vs. Kopernik Global All Cap | Frost Total vs. Invesco Real Estate | Frost Total vs. Oppenheimer Steelpath Mlp |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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