Correlation Between Algebris UCITS and AXA World

Can any of the company-specific risk be diversified away by investing in both Algebris UCITS and AXA World 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 Algebris UCITS and AXA World into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Algebris UCITS Funds and AXA World Funds, you can compare the effects of market volatilities on Algebris UCITS and AXA World 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 Algebris UCITS with a short position of AXA World. Check out your portfolio center. Please also check ongoing floating volatility patterns of Algebris UCITS and AXA World.

Diversification Opportunities for Algebris UCITS and AXA World

0.23

Correlation Coefficient

Algebris UCITS  AXA World

Modest diversification

The 3 months correlation between Algebris and AXA is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Algebris UCITS Funds and AXA World Funds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AXA World Funds and Algebris UCITS 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 Algebris UCITS Funds are associated (or correlated) with AXA World. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AXA World Funds has no effect on the direction of Algebris UCITS i.e., Algebris UCITS and AXA World go up and down completely randomly.

Pair Corralation between Algebris UCITS and AXA World

Assuming the 90 days trading horizon Algebris UCITS Funds is expected to generate 0.61 times more return on investment than AXA World. However, Algebris UCITS Funds is 1.64 times less risky than AXA World. It trades about 0.12 of its potential returns per unit of risk. AXA World Funds is currently generating about 0.03 per unit of risk. If you would invest  12,427  in Algebris UCITS Funds on September 22, 2024 and sell it today you would earn a total of  2,503  from holding Algebris UCITS Funds or generate 20.14% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.81%
Values	Daily Returns

Algebris UCITS Funds  vs.  AXA World Funds

Algebris UCITS Funds

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Algebris UCITS Funds are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat strong basic indicators, Algebris UCITS is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

AXA World Funds

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days AXA World Funds has generated negative risk-adjusted returns adding no value to fund investors. Despite nearly stable basic indicators, AXA World is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with Algebris UCITS and AXA World

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

The idea behind Algebris UCITS Funds and AXA World Funds 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.