Correlation Between Value Fund and Oakmark Select
Can any of the company-specific risk be diversified away by investing in both Value Fund and Oakmark Select 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 Value Fund and Oakmark Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Value Fund Value and Oakmark Select Fund, you can compare the effects of market volatilities on Value Fund and Oakmark Select 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 Value Fund with a short position of Oakmark Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Value Fund and Oakmark Select.
Diversification Opportunities for Value Fund and Oakmark Select
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Value and Oakmark is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Value Fund Value and Oakmark Select Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Oakmark Select and Value Fund 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 Value Fund Value are associated (or correlated) with Oakmark Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Oakmark Select has no effect on the direction of Value Fund i.e., Value Fund and Oakmark Select go up and down completely randomly.
Pair Corralation between Value Fund and Oakmark Select
Assuming the 90 days horizon Value Fund is expected to generate 1.35 times less return on investment than Oakmark Select. But when comparing it to its historical volatility, Value Fund Value is 1.13 times less risky than Oakmark Select. It trades about 0.14 of its potential returns per unit of risk. Oakmark Select Fund is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 7,011 in Oakmark Select Fund on August 29, 2024 and sell it today you would earn a total of 1,453 from holding Oakmark Select Fund or generate 20.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Value Fund Value vs. Oakmark Select Fund
Performance |
| Timeline |
| Value Fund Value |
| Oakmark Select |
Value Fund and Oakmark Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Value Fund and Oakmark Select
The main advantage of trading using opposite Value Fund and Oakmark Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Value Fund position performs unexpectedly, Oakmark Select 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 Oakmark Select will offset losses from the drop in Oakmark Select's long position.| Value Fund vs. Vanguard Total Stock | Value Fund vs. Vanguard 500 Index | Value Fund vs. Vanguard Total Stock | Value Fund vs. Vanguard Total Stock |
| Oakmark Select vs. Value Fund Investor | Oakmark Select vs. HUMANA INC | Oakmark Select vs. Aquagold International | Oakmark Select vs. Barloworld Ltd ADR |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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