Correlation Between Abr Enhanced and Abr Dynamic

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

By analyzing existing cross correlation between Abr Enhanced Short and Abr Dynamic Blend, you can compare the effects of market volatilities on Abr Enhanced and Abr Dynamic 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 Abr Enhanced with a short position of Abr Dynamic. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abr Enhanced and Abr Dynamic.

Diversification Opportunities for Abr Enhanced and Abr Dynamic

0.6

Correlation Coefficient

Abr Enhanced  Abr Dynamic

Poor diversification

The 3 months correlation between Abr and Abr is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Abr Enhanced Short and Abr Dynamic Blend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Abr Dynamic Blend and Abr Enhanced 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 Abr Enhanced Short are associated (or correlated) with Abr Dynamic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Abr Dynamic Blend has no effect on the direction of Abr Enhanced i.e., Abr Enhanced and Abr Dynamic go up and down completely randomly.

Pair Corralation between Abr Enhanced and Abr Dynamic

Assuming the 90 days horizon Abr Enhanced Short is expected to generate 1.83 times more return on investment than Abr Dynamic. However, Abr Enhanced is 1.83 times more volatile than Abr Dynamic Blend. It trades about 0.01 of its potential returns per unit of risk. Abr Dynamic Blend is currently generating about -0.09 per unit of risk. If you would invest  844.00  in Abr Enhanced Short on November 29, 2024 and sell it today you would earn a total of  0.00  from holding Abr Enhanced Short or generate 0.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Abr Enhanced Short  vs.  Abr Dynamic Blend

Abr Enhanced Short

Risk-Adjusted Performance

Very Weak

Over the last 90 days Abr Enhanced Short has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward-looking indicators, Abr Enhanced is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Abr Dynamic Blend

Risk-Adjusted Performance

Very Weak

Over the last 90 days Abr Dynamic Blend has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Abr Dynamic is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Abr Enhanced and Abr Dynamic

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

The idea behind Abr Enhanced Short and Abr Dynamic Blend 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.