Correlation Between Short Duration and Chartwell Short

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

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

Diversification Opportunities for Short Duration and Chartwell Short

0.1

Correlation Coefficient

Short Duration  Chartwell Short

Average diversification

The 3 months correlation between Short and Chartwell is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Short Duration Inflation and Chartwell Short Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chartwell Short Duration and Short Duration 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 Short Duration Inflation are associated (or correlated) with Chartwell Short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chartwell Short Duration has no effect on the direction of Short Duration i.e., Short Duration and Chartwell Short go up and down completely randomly.

Pair Corralation between Short Duration and Chartwell Short

Assuming the 90 days horizon Short Duration is expected to generate 6.31 times less return on investment than Chartwell Short. In addition to that, Short Duration is 1.42 times more volatile than Chartwell Short Duration. It trades about 0.01 of its total potential returns per unit of risk. Chartwell Short Duration is currently generating about 0.1 per unit of volatility. If you would invest  949.00  in Chartwell Short Duration on September 13, 2024 and sell it today you would earn a total of  6.00  from holding Chartwell Short Duration or generate 0.63% return on investment over 90 days.

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

Short Duration Inflation  vs.  Chartwell Short Duration

Short Duration Inflation

Risk-Adjusted Performance

0 of 100

Insignificant

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

Chartwell Short Duration

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Chartwell Short Duration are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Chartwell Short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Short Duration and Chartwell Short

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

The idea behind Short Duration Inflation and Chartwell Short Duration 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.