Correlation Between Moderate Duration and Ab Impact
Can any of the company-specific risk be diversified away by investing in both Moderate Duration and Ab Impact 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 Moderate Duration and Ab Impact into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Moderate Duration Fund and Ab Impact Municipal, you can compare the effects of market volatilities on Moderate Duration and Ab Impact 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 Moderate Duration with a short position of Ab Impact. Check out your portfolio center. Please also check ongoing floating volatility patterns of Moderate Duration and Ab Impact.
Diversification Opportunities for Moderate Duration and Ab Impact
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Moderate and ABIMX is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Moderate Duration Fund and Ab Impact Municipal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Impact Municipal and Moderate Duration 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 Moderate Duration Fund are associated (or correlated) with Ab Impact. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Impact Municipal has no effect on the direction of Moderate Duration i.e., Moderate Duration and Ab Impact go up and down completely randomly.
Pair Corralation between Moderate Duration and Ab Impact
Assuming the 90 days horizon Moderate Duration is expected to generate 1.64 times less return on investment than Ab Impact. But when comparing it to its historical volatility, Moderate Duration Fund is 1.43 times less risky than Ab Impact. It trades about 0.13 of its potential returns per unit of risk. Ab Impact Municipal is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 947.00 in Ab Impact Municipal on September 1, 2024 and sell it today you would earn a total of 52.00 from holding Ab Impact Municipal or generate 5.49% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Moderate Duration Fund vs. Ab Impact Municipal
Performance |
| Timeline |
| Moderate Duration |
| Ab Impact Municipal |
Moderate Duration and Ab Impact Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Moderate Duration and Ab Impact
The main advantage of trading using opposite Moderate Duration and Ab Impact positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Moderate Duration position performs unexpectedly, Ab Impact 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 Ab Impact will offset losses from the drop in Ab Impact's long position.| Moderate Duration vs. Pimco Rae Worldwide | Moderate Duration vs. Pimco Rae Worldwide | Moderate Duration vs. Pimco Rae Worldwide | Moderate Duration vs. Pimco Rae Worldwide |
| Ab Impact vs. Barings Emerging Markets | Ab Impact vs. Artisan Emerging Markets | Ab Impact vs. Black Oak Emerging | Ab Impact vs. Ashmore Emerging Markets |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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