Correlation Between Legg Mason and Amg Managers
Can any of the company-specific risk be diversified away by investing in both Legg Mason and Amg Managers 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 Legg Mason and Amg Managers into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Bw and Amg Managers Loomis, you can compare the effects of market volatilities on Legg Mason and Amg Managers 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 Legg Mason with a short position of Amg Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Amg Managers.
Diversification Opportunities for Legg Mason and Amg Managers
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Legg and Amg is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw and Amg Managers Loomis in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amg Managers Loomis and Legg Mason 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 Legg Mason Bw are associated (or correlated) with Amg Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amg Managers Loomis has no effect on the direction of Legg Mason i.e., Legg Mason and Amg Managers go up and down completely randomly.
Pair Corralation between Legg Mason and Amg Managers
Assuming the 90 days horizon Legg Mason Bw is expected to under-perform the Amg Managers. In addition to that, Legg Mason is 1.79 times more volatile than Amg Managers Loomis. It trades about -0.15 of its total potential returns per unit of risk. Amg Managers Loomis is currently generating about -0.04 per unit of volatility. If you would invest 2,170 in Amg Managers Loomis on August 27, 2024 and sell it today you would lose (5.00) from holding Amg Managers Loomis or give up 0.23% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Legg Mason Bw vs. Amg Managers Loomis
Performance |
| Timeline |
| Legg Mason Bw |
| Amg Managers Loomis |
Legg Mason and Amg Managers Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Legg Mason and Amg Managers
The main advantage of trading using opposite Legg Mason and Amg Managers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Amg Managers 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 Amg Managers will offset losses from the drop in Amg Managers' long position.| Legg Mason vs. Franklin Mutual Beacon | Legg Mason vs. Templeton Developing Markets | Legg Mason vs. Franklin Mutual Global | Legg Mason vs. Franklin Mutual Global |
| Amg Managers vs. Amg Southernsun Equity | Amg Managers vs. Amg Southernsun Equity | Amg Managers vs. Amg Fq Long Short | Amg Managers vs. Amg Southernsun Small |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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