Correlation Between Frost Kempner and Frost Low
Can any of the company-specific risk be diversified away by investing in both Frost Kempner and Frost Low 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 Low into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frost Kempner Treasury and Frost Low Duration, you can compare the effects of market volatilities on Frost Kempner and Frost Low 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 Low. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frost Kempner and Frost Low.
Diversification Opportunities for Frost Kempner and Frost Low
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Frost and Frost is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Treasury and Frost Low Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Frost Low Duration 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 Treasury are associated (or correlated) with Frost Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Frost Low Duration has no effect on the direction of Frost Kempner i.e., Frost Kempner and Frost Low go up and down completely randomly.
Pair Corralation between Frost Kempner and Frost Low
Assuming the 90 days horizon Frost Kempner Treasury is expected to generate 0.77 times more return on investment than Frost Low. However, Frost Kempner Treasury is 1.31 times less risky than Frost Low. It trades about 0.29 of its potential returns per unit of risk. Frost Low Duration is currently generating about 0.07 per unit of risk. If you would invest 841.00 in Frost Kempner Treasury on September 12, 2024 and sell it today you would earn a total of 5.00 from holding Frost Kempner Treasury or generate 0.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Frost Kempner Treasury vs. Frost Low Duration
Performance |
| Timeline |
| Frost Kempner Treasury |
| Frost Low Duration |
Frost Kempner and Frost Low Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Frost Kempner and Frost Low
The main advantage of trading using opposite Frost Kempner and Frost Low positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frost Kempner position performs unexpectedly, Frost Low 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 Low will offset losses from the drop in Frost Low's long position.| Frost Kempner vs. Allianzgi Health Sciences | Frost Kempner vs. Tekla Healthcare Opportunities | Frost Kempner vs. Vanguard Health Care | Frost Kempner vs. Health Biotchnology Portfolio |
| Frost Low vs. Baird Ultra Short | Frost Low vs. Frost Total Return | Frost Low vs. Frost Growth Equity | Frost Low vs. Frost Kempner Multi Cap |
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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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