Correlation Between Artisan Mid and Pzena International

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

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

Diversification Opportunities for Artisan Mid and Pzena International

0.22

Correlation Coefficient

Artisan Mid  Pzena International

Modest diversification

The 3 months correlation between Artisan and Pzena is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Artisan Mid Cap and Pzena International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pzena International Small and Artisan Mid 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 Mid Cap are associated (or correlated) with Pzena International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pzena International Small has no effect on the direction of Artisan Mid i.e., Artisan Mid and Pzena International go up and down completely randomly.

Pair Corralation between Artisan Mid and Pzena International

Assuming the 90 days horizon Artisan Mid Cap is expected to under-perform the Pzena International. But the mutual fund apears to be less risky and, when comparing its historical volatility, Artisan Mid Cap is 1.07 times less risky than Pzena International. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Pzena International Small is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  1,057  in Pzena International Small on December 20, 2024 and sell it today you would earn a total of  72.00  from holding Pzena International Small or generate 6.81% return on investment over 90 days.

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

Artisan Mid Cap  vs.  Pzena International Small

Artisan Mid Cap

Risk-Adjusted Performance

Very Weak

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

Pzena International Small

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Pzena International Small are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Pzena International may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Artisan Mid and Pzena International

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

The idea behind Artisan Mid Cap and Pzena International Small 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.