Correlation Between Impact ISR and ALM Offensif

Can any of the company-specific risk be diversified away by investing in both Impact ISR and ALM Offensif 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 Impact ISR and ALM Offensif into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Impact ISR Performance and ALM Offensif, you can compare the effects of market volatilities on Impact ISR and ALM Offensif 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 Impact ISR with a short position of ALM Offensif. Check out your portfolio center. Please also check ongoing floating volatility patterns of Impact ISR and ALM Offensif.

Diversification Opportunities for Impact ISR and ALM Offensif

-0.38

Correlation Coefficient

Impact ISR  ALM Offensif

Very good diversification

The 3 months correlation between Impact and ALM is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Impact ISR Performance and ALM Offensif in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ALM Offensif and Impact ISR 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 Impact ISR Performance are associated (or correlated) with ALM Offensif. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ALM Offensif has no effect on the direction of Impact ISR i.e., Impact ISR and ALM Offensif go up and down completely randomly.

Pair Corralation between Impact ISR and ALM Offensif

Assuming the 90 days trading horizon Impact ISR Performance is expected to under-perform the ALM Offensif. In addition to that, Impact ISR is 1.5 times more volatile than ALM Offensif. It trades about -0.02 of its total potential returns per unit of risk. ALM Offensif is currently generating about 0.1 per unit of volatility. If you would invest  31,947  in ALM Offensif on September 23, 2024 and sell it today you would earn a total of  221.00  from holding ALM Offensif or generate 0.69% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.24%
Values	Daily Returns

Impact ISR Performance  vs.  ALM Offensif

Impact ISR Performance

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Impact ISR Performance has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly stable basic indicators, Impact ISR is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

ALM Offensif

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in ALM Offensif are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, ALM Offensif is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Impact ISR and ALM Offensif

The main advantage of trading using opposite Impact ISR and ALM Offensif positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Impact ISR position performs unexpectedly, ALM Offensif 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 ALM Offensif will offset losses from the drop in ALM Offensif's long position.

The idea behind Impact ISR Performance and ALM Offensif 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.