Correlation Between Hennessy and Quantitative
Can any of the company-specific risk be diversified away by investing in both Hennessy and Quantitative 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 and Quantitative into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hennessy Bp Energy and Quantitative Longshort Equity, you can compare the effects of market volatilities on Hennessy and Quantitative 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 with a short position of Quantitative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hennessy and Quantitative.
Diversification Opportunities for Hennessy and Quantitative
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Hennessy and Quantitative is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Bp Energy and Quantitative Longshort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Quantitative Longshort and Hennessy 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 Bp Energy are associated (or correlated) with Quantitative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Quantitative Longshort has no effect on the direction of Hennessy i.e., Hennessy and Quantitative go up and down completely randomly.
Pair Corralation between Hennessy and Quantitative
Assuming the 90 days horizon Hennessy is expected to generate 2.54 times less return on investment than Quantitative. In addition to that, Hennessy is 3.09 times more volatile than Quantitative Longshort Equity. It trades about 0.04 of its total potential returns per unit of risk. Quantitative Longshort Equity is currently generating about 0.28 per unit of volatility. If you would invest 1,364 in Quantitative Longshort Equity on November 9, 2024 and sell it today you would earn a total of 28.00 from holding Quantitative Longshort Equity or generate 2.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Hennessy Bp Energy vs. Quantitative Longshort Equity
Performance |
| Timeline |
| Hennessy Bp Energy |
| Quantitative Longshort |
Hennessy and Quantitative Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hennessy and Quantitative
The main advantage of trading using opposite Hennessy and Quantitative positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hennessy position performs unexpectedly, Quantitative 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 Quantitative will offset losses from the drop in Quantitative's long position.| Hennessy vs. World Energy Fund | Hennessy vs. Ivy Energy Fund | Hennessy vs. Blackrock All Cap Energy | Hennessy vs. Energy Fund Class |
| Quantitative vs. Us Government Securities | Quantitative vs. Short Term Government Fund | Quantitative vs. Jpmorgan Government Bond | Quantitative vs. Great West Government Mortgage |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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