Correlation Between Artisan International and Artisan Focus

Can any of the company-specific risk be diversified away by investing in both Artisan International and Artisan Focus 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 Artisan Focus 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 Artisan Focus, you can compare the effects of market volatilities on Artisan International and Artisan Focus 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 Artisan Focus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Artisan International and Artisan Focus.

Diversification Opportunities for Artisan International and Artisan Focus

-0.51

Correlation Coefficient

Artisan International  Artisan Focus

Excellent diversification

The 3 months correlation between Artisan and Artisan is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Artisan International Value and Artisan Focus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Artisan Focus 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 Artisan Focus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Artisan Focus has no effect on the direction of Artisan International i.e., Artisan International and Artisan Focus go up and down completely randomly.

Pair Corralation between Artisan International and Artisan Focus

Assuming the 90 days horizon Artisan International Value is expected to under-perform the Artisan Focus. But the mutual fund apears to be less risky and, when comparing its historical volatility, Artisan International Value is 1.43 times less risky than Artisan Focus. The mutual fund trades about -0.09 of its potential returns per unit of risk. The Artisan Focus is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  2,222  in Artisan Focus on September 5, 2024 and sell it today you would earn a total of  304.00  from holding Artisan Focus or generate 13.68% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Artisan International Value  vs.  Artisan Focus

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.

Artisan Focus

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Artisan Focus are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Artisan Focus showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Artisan International and Artisan Focus

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

The idea behind Artisan International Value and Artisan Focus 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.