Correlation Between Artisan International and Brown Advisory

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

By analyzing existing cross correlation between Artisan International Value and Brown Advisory Small Cap, you can compare the effects of market volatilities on Artisan International and Brown Advisory 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 Artisan International with a short position of Brown Advisory. Check out your portfolio center. Please also check ongoing floating volatility patterns of Artisan International and Brown Advisory.

Diversification Opportunities for Artisan International and Brown Advisory

-0.59

Correlation Coefficient

Artisan International  Brown Advisory

Excellent diversification

The 3 months correlation between Artisan and Brown is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding Artisan International Value and Brown Advisory Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brown Advisory Small and Artisan International 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 Artisan International Value are associated (or correlated) with Brown Advisory. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brown Advisory Small has no effect on the direction of Artisan International i.e., Artisan International and Brown Advisory go up and down completely randomly.

Pair Corralation between Artisan International and Brown Advisory

Assuming the 90 days horizon Artisan International Value is expected to generate 0.64 times more return on investment than Brown Advisory. However, Artisan International Value is 1.56 times less risky than Brown Advisory. It trades about 0.08 of its potential returns per unit of risk. Brown Advisory Small Cap is currently generating about 0.04 per unit of risk. If you would invest  3,745  in Artisan International Value on September 4, 2024 and sell it today you would earn a total of  1,146  from holding Artisan International Value or generate 30.6% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Artisan International Value  vs.  Brown Advisory Small Cap

Artisan International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Brown Advisory Small

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Brown Advisory Small Cap are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Brown Advisory may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Artisan International and Brown Advisory

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

The idea behind Artisan International Value and Brown Advisory Small Cap 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.