Correlation Between MFF Capital and ALS
Can any of the company-specific risk be diversified away by investing in both MFF Capital and ALS 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 MFF Capital and ALS into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MFF Capital Investments and ALS, you can compare the effects of market volatilities on MFF Capital and ALS 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 MFF Capital with a short position of ALS. Check out your portfolio center. Please also check ongoing floating volatility patterns of MFF Capital and ALS.
Diversification Opportunities for MFF Capital and ALS
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between MFF and ALS is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding MFF Capital Investments and ALS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ALS and MFF Capital 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 MFF Capital Investments are associated (or correlated) with ALS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ALS has no effect on the direction of MFF Capital i.e., MFF Capital and ALS go up and down completely randomly.
Pair Corralation between MFF Capital and ALS
Assuming the 90 days trading horizon MFF Capital is expected to generate 1.78 times less return on investment than ALS. But when comparing it to its historical volatility, MFF Capital Investments is 1.6 times less risky than ALS. It trades about 0.33 of its potential returns per unit of risk. ALS is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 1,389 in ALS on August 29, 2024 and sell it today you would earn a total of 206.00 from holding ALS or generate 14.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
MFF Capital Investments vs. ALS
Performance |
| Timeline |
| MFF Capital Investments |
| ALS |
MFF Capital and ALS Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MFF Capital and ALS
The main advantage of trading using opposite MFF Capital and ALS positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MFF Capital position performs unexpectedly, ALS 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 ALS will offset losses from the drop in ALS's long position.| MFF Capital vs. Aussie Broadband | MFF Capital vs. Regal Funds Management | MFF Capital vs. Platinum Asset Management | MFF Capital vs. Richmond Vanadium Technology |
| ALS vs. MFF Capital Investments | ALS vs. Argo Investments | ALS vs. BlackWall Property Funds | ALS vs. A1 Investments Resources |
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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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