Correlation Between Artisan Value and Artisan International

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

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

Diversification Opportunities for Artisan Value and Artisan International

0.62

Correlation Coefficient

Artisan Value  Artisan International

Poor diversification

The 3 months correlation between Artisan and Artisan is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Artisan Value Fund and Artisan International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Artisan International and Artisan Value 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 Value Fund are associated (or correlated) with Artisan International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Artisan International has no effect on the direction of Artisan Value i.e., Artisan Value and Artisan International go up and down completely randomly.

Pair Corralation between Artisan Value and Artisan International

Assuming the 90 days horizon Artisan Value Fund is expected to under-perform the Artisan International. In addition to that, Artisan Value is 1.77 times more volatile than Artisan International Value. It trades about -0.09 of its total potential returns per unit of risk. Artisan International Value is currently generating about 0.08 per unit of volatility. If you would invest  4,853  in Artisan International Value on December 2, 2024 and sell it today you would earn a total of  124.00  from holding Artisan International Value or generate 2.56% return on investment over 90 days.

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

Artisan Value Fund  vs.  Artisan International Value

Artisan Value

Risk-Adjusted Performance

Very Weak

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

Artisan International

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Artisan International Value are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. 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.

Pair Trading with Artisan Value and Artisan International

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

The idea behind Artisan Value Fund and Artisan International Value 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.