Correlation Between Fundamental Large and Brandes Core
Can any of the company-specific risk be diversified away by investing in both Fundamental Large and Brandes Core 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 Fundamental Large and Brandes Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fundamental Large Cap and Brandes E Plus, you can compare the effects of market volatilities on Fundamental Large and Brandes Core 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 Fundamental Large with a short position of Brandes Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fundamental Large and Brandes Core.
Diversification Opportunities for Fundamental Large and Brandes Core
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between FUNDAMENTAL and Brandes is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding Fundamental Large Cap and Brandes E Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brandes E Plus and Fundamental Large 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 Fundamental Large Cap are associated (or correlated) with Brandes Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brandes E Plus has no effect on the direction of Fundamental Large i.e., Fundamental Large and Brandes Core go up and down completely randomly.
Pair Corralation between Fundamental Large and Brandes Core
Assuming the 90 days horizon Fundamental Large Cap is expected to generate 2.43 times more return on investment than Brandes Core. However, Fundamental Large is 2.43 times more volatile than Brandes E Plus. It trades about 0.32 of its potential returns per unit of risk. Brandes E Plus is currently generating about 0.09 per unit of risk. If you would invest 7,825 in Fundamental Large Cap on September 2, 2024 and sell it today you would earn a total of 423.00 from holding Fundamental Large Cap or generate 5.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Fundamental Large Cap vs. Brandes E Plus
Performance |
| Timeline |
| Fundamental Large Cap |
| Brandes E Plus |
Fundamental Large and Brandes Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fundamental Large and Brandes Core
The main advantage of trading using opposite Fundamental Large and Brandes Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fundamental Large position performs unexpectedly, Brandes Core 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 Brandes Core will offset losses from the drop in Brandes Core's long position.| Fundamental Large vs. Ultramid Cap Profund Ultramid Cap | Fundamental Large vs. Lord Abbett Small | Fundamental Large vs. Mutual Of America | Fundamental Large vs. Heartland Value Plus |
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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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