Correlation Between Astor Long/short and Ab Select

Can any of the company-specific risk be diversified away by investing in both Astor Long/short and Ab Select 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 Astor Long/short and Ab Select into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Astor Longshort Fund and Ab Select Longshort, you can compare the effects of market volatilities on Astor Long/short and Ab Select 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 Astor Long/short with a short position of Ab Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astor Long/short and Ab Select.

Diversification Opportunities for Astor Long/short and Ab Select

0.77

Correlation Coefficient

Astor Long/short  Ab Select

Poor diversification

The 3 months correlation between Astor and ASCLX is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Astor Longshort Fund and Ab Select Longshort in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Select Longshort and Astor Long/short 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 Astor Longshort Fund are associated (or correlated) with Ab Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Select Longshort has no effect on the direction of Astor Long/short i.e., Astor Long/short and Ab Select go up and down completely randomly.

Pair Corralation between Astor Long/short and Ab Select

Assuming the 90 days horizon Astor Longshort Fund is expected to under-perform the Ab Select. But the mutual fund apears to be less risky and, when comparing its historical volatility, Astor Longshort Fund is 1.06 times less risky than Ab Select. The mutual fund trades about -0.13 of its potential returns per unit of risk. The Ab Select Longshort is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest  1,408  in Ab Select Longshort on November 28, 2024 and sell it today you would lose (96.00) from holding Ab Select Longshort or give up 6.82% of portfolio value over 90 days.

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

Astor Longshort Fund  vs.  Ab Select Longshort

Astor Long/short

Risk-Adjusted Performance

Very Weak

Over the last 90 days Astor Longshort Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Ab Select Longshort

Risk-Adjusted Performance

Very Weak

Over the last 90 days Ab Select Longshort has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's essential indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Astor Long/short and Ab Select

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

The idea behind Astor Longshort Fund and Ab Select Longshort 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 Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.