Correlation Between Fmasx and Value Fund
Can any of the company-specific risk be diversified away by investing in both Fmasx and Value Fund 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 Fmasx and Value Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fmasx and Value Fund Value, you can compare the effects of market volatilities on Fmasx and Value Fund 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 Fmasx with a short position of Value Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fmasx and Value Fund.
Diversification Opportunities for Fmasx and Value Fund
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Fmasx and Value is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Fmasx and Value Fund Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Fund Value and Fmasx 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 Fmasx are associated (or correlated) with Value Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Fund Value has no effect on the direction of Fmasx i.e., Fmasx and Value Fund go up and down completely randomly.
Pair Corralation between Fmasx and Value Fund
Assuming the 90 days horizon Fmasx is expected to generate 3.16 times less return on investment than Value Fund. In addition to that, Fmasx is 1.3 times more volatile than Value Fund Value. It trades about 0.08 of its total potential returns per unit of risk. Value Fund Value is currently generating about 0.34 per unit of volatility. If you would invest 1,863 in Value Fund Value on October 24, 2024 and sell it today you would earn a total of 83.00 from holding Value Fund Value or generate 4.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fmasx vs. Value Fund Value
Performance |
| Timeline |
| Fmasx |
| Value Fund Value |
Fmasx and Value Fund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fmasx and Value Fund
The main advantage of trading using opposite Fmasx and Value Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fmasx position performs unexpectedly, Value Fund 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 Value Fund will offset losses from the drop in Value Fund's long position.| Fmasx vs. Aqr Managed Futures | Fmasx vs. Ab Bond Inflation | Fmasx vs. Ab Bond Inflation | Fmasx vs. Atac Inflation Rotation |
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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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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