Correlation Between Virtus Multi-strategy and Sprucegrove International

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Can any of the company-specific risk be diversified away by investing in both Virtus Multi-strategy and Sprucegrove International 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 Virtus Multi-strategy and Sprucegrove International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Virtus Multi Strategy Target and Sprucegrove International Equity, you can compare the effects of market volatilities on Virtus Multi-strategy and Sprucegrove International 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 Virtus Multi-strategy with a short position of Sprucegrove International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Virtus Multi-strategy and Sprucegrove International.

Diversification Opportunities for Virtus Multi-strategy and Sprucegrove International

0.14
  Correlation Coefficient

Average diversification

The 3 months correlation between Virtus and Sprucegrove is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Multi Strategy Target and Sprucegrove International Equi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sprucegrove International and Virtus Multi-strategy 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 Virtus Multi Strategy Target are associated (or correlated) with Sprucegrove International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sprucegrove International has no effect on the direction of Virtus Multi-strategy i.e., Virtus Multi-strategy and Sprucegrove International go up and down completely randomly.

Pair Corralation between Virtus Multi-strategy and Sprucegrove International

Assuming the 90 days horizon Virtus Multi-strategy is expected to generate 4.76 times less return on investment than Sprucegrove International. But when comparing it to its historical volatility, Virtus Multi Strategy Target is 2.77 times less risky than Sprucegrove International. It trades about 0.18 of its potential returns per unit of risk. Sprucegrove International Equity is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  6,491  in Sprucegrove International Equity on November 3, 2024 and sell it today you would earn a total of  331.00  from holding Sprucegrove International Equity or generate 5.1% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Virtus Multi Strategy Target  vs.  Sprucegrove International Equi

 Performance 
       Timeline  
Virtus Multi Strategy 

Risk-Adjusted Performance

8 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Multi Strategy Target are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Virtus Multi-strategy is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Sprucegrove International 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Sprucegrove International Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Sprucegrove International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Virtus Multi-strategy and Sprucegrove International Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Virtus Multi-strategy and Sprucegrove International

The main advantage of trading using opposite Virtus Multi-strategy and Sprucegrove International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Virtus Multi-strategy position performs unexpectedly, Sprucegrove International 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 Sprucegrove International will offset losses from the drop in Sprucegrove International's long position.
The idea behind Virtus Multi Strategy Target and Sprucegrove International Equity pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Global Correlations module to find global opportunities by holding instruments from different markets.

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