Correlation Between Legg Mason and Blackrock Value
Can any of the company-specific risk be diversified away by investing in both Legg Mason and Blackrock Value 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 Legg Mason and Blackrock Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Partners and Blackrock Value Opps, you can compare the effects of market volatilities on Legg Mason and Blackrock Value 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 Legg Mason with a short position of Blackrock Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Blackrock Value.
Diversification Opportunities for Legg Mason and Blackrock Value
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Legg and Blackrock is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Partners and Blackrock Value Opps in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackrock Value Opps and Legg Mason 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 Legg Mason Partners are associated (or correlated) with Blackrock Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackrock Value Opps has no effect on the direction of Legg Mason i.e., Legg Mason and Blackrock Value go up and down completely randomly.
Pair Corralation between Legg Mason and Blackrock Value
Assuming the 90 days trading horizon Legg Mason is expected to generate 1.85 times less return on investment than Blackrock Value. But when comparing it to its historical volatility, Legg Mason Partners is 1.81 times less risky than Blackrock Value. It trades about 0.34 of its potential returns per unit of risk. Blackrock Value Opps is currently generating about 0.34 of returns per unit of risk over similar time horizon. If you would invest 2,740 in Blackrock Value Opps on September 4, 2024 and sell it today you would earn a total of 259.00 from holding Blackrock Value Opps or generate 9.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Legg Mason Partners vs. Blackrock Value Opps
Performance |
| Timeline |
| Legg Mason Partners |
| Blackrock Value Opps |
Legg Mason and Blackrock Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Legg Mason and Blackrock Value
The main advantage of trading using opposite Legg Mason and Blackrock Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Blackrock Value 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 Blackrock Value will offset losses from the drop in Blackrock Value's long position.| Legg Mason vs. Vanguard Total Stock | Legg Mason vs. Vanguard 500 Index | Legg Mason vs. Vanguard Total Stock | Legg Mason vs. Vanguard Total Stock |
| Blackrock Value vs. Blackrock California Municipal | Blackrock Value vs. Blackrock Balanced Capital | Blackrock Value vs. Blackrock Eurofund Class | Blackrock Value vs. Blackrock Funds |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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