Correlation Between Artisan Small and Frank Value

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

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

Diversification Opportunities for Artisan Small and Frank Value

0.81

Correlation Coefficient

Artisan Small  Frank Value

Very poor diversification

The 3 months correlation between Artisan and Frank is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Artisan Small Cap and Frank Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Frank Value Fund and Artisan Small 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 Small Cap are associated (or correlated) with Frank Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Frank Value Fund has no effect on the direction of Artisan Small i.e., Artisan Small and Frank Value go up and down completely randomly.

Pair Corralation between Artisan Small and Frank Value

Assuming the 90 days horizon Artisan Small Cap is expected to generate 1.32 times more return on investment than Frank Value. However, Artisan Small is 1.32 times more volatile than Frank Value Fund. It trades about -0.07 of its potential returns per unit of risk. Frank Value Fund is currently generating about -0.37 per unit of risk. If you would invest  3,698  in Artisan Small Cap on October 11, 2024 and sell it today you would lose (70.00) from holding Artisan Small Cap or give up 1.89% of portfolio value over 90 days.

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

Artisan Small Cap  vs.  Frank Value Fund

Artisan Small Cap

Risk-Adjusted Performance

0 of 100

Weak

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

Frank Value Fund

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Frank Value Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Frank Value 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 Small and Frank Value

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

The idea behind Artisan Small Cap and Frank Value Fund 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.

Check out your portfolio center.

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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.