Correlation Between Hennessy Japan and Amg Timessquare
Can any of the company-specific risk be diversified away by investing in both Hennessy Japan and Amg Timessquare 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 Hennessy Japan and Amg Timessquare into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hennessy Japan Fund and Amg Timessquare International, you can compare the effects of market volatilities on Hennessy Japan and Amg Timessquare 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 Hennessy Japan with a short position of Amg Timessquare. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hennessy Japan and Amg Timessquare.
Diversification Opportunities for Hennessy Japan and Amg Timessquare
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Hennessy and AMG is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Japan Fund and Amg Timessquare International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amg Timessquare Inte and Hennessy Japan 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 Hennessy Japan Fund are associated (or correlated) with Amg Timessquare. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amg Timessquare Inte has no effect on the direction of Hennessy Japan i.e., Hennessy Japan and Amg Timessquare go up and down completely randomly.
Pair Corralation between Hennessy Japan and Amg Timessquare
Assuming the 90 days horizon Hennessy Japan Fund is expected to generate 1.52 times more return on investment than Amg Timessquare. However, Hennessy Japan is 1.52 times more volatile than Amg Timessquare International. It trades about 0.08 of its potential returns per unit of risk. Amg Timessquare International is currently generating about -0.13 per unit of risk. If you would invest 4,335 in Hennessy Japan Fund on August 29, 2024 and sell it today you would earn a total of 69.00 from holding Hennessy Japan Fund or generate 1.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Hennessy Japan Fund vs. Amg Timessquare International
Performance |
| Timeline |
| Hennessy Japan |
| Amg Timessquare Inte |
Hennessy Japan and Amg Timessquare Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hennessy Japan and Amg Timessquare
The main advantage of trading using opposite Hennessy Japan and Amg Timessquare positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hennessy Japan position performs unexpectedly, Amg Timessquare 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 Timessquare will offset losses from the drop in Amg Timessquare's long position.| Hennessy Japan vs. Hennessy Japan Small | Hennessy Japan vs. Hennessy Japan Fund | Hennessy Japan vs. Matthews Japan Fund | Hennessy Japan vs. Matthews Japan Fund |
| Amg Timessquare vs. Baron Discovery Fund | Amg Timessquare vs. Virtus Kar Small Cap | Amg Timessquare vs. Champlain Mid Cap | Amg Timessquare vs. Poplar Forest Partners |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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