Correlation Between Western Asset and Aegis Value
Can any of the company-specific risk be diversified away by investing in both Western Asset and Aegis 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 Western Asset and Aegis Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset Municipal and Aegis Value Fund, you can compare the effects of market volatilities on Western Asset and Aegis 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 Western Asset with a short position of Aegis Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Aegis Value.
Diversification Opportunities for Western Asset and Aegis Value
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between Western and Aegis is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Municipal and Aegis Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aegis Value Fund and Western Asset 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 Western Asset Municipal are associated (or correlated) with Aegis Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aegis Value Fund has no effect on the direction of Western Asset i.e., Western Asset and Aegis Value go up and down completely randomly.
Pair Corralation between Western Asset and Aegis Value
Assuming the 90 days horizon Western Asset Municipal is expected to under-perform the Aegis Value. But the mutual fund apears to be less risky and, when comparing its historical volatility, Western Asset Municipal is 3.86 times less risky than Aegis Value. The mutual fund trades about -0.09 of its potential returns per unit of risk. The Aegis Value Fund is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 3,613 in Aegis Value Fund on January 14, 2025 and sell it today you would earn a total of 326.00 from holding Aegis Value Fund or generate 9.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset Municipal vs. Aegis Value Fund
Performance |
| Timeline |
| Western Asset Municipal |
| Aegis Value Fund |
Western Asset and Aegis Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Aegis Value
The main advantage of trading using opposite Western Asset and Aegis Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Aegis 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 Aegis Value will offset losses from the drop in Aegis Value's long position.| Western Asset vs. Vanguard Total Stock | Western Asset vs. Vanguard 500 Index | Western Asset vs. Vanguard Total Stock | Western Asset vs. Vanguard Total Stock |
| Aegis Value vs. Gold Portfolio Gold | Aegis Value vs. Hussman Strategic Growth | Aegis Value vs. Vanguard Total Bond | Aegis Value vs. Inverse Nasdaq 100 Strategy |
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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