Correlation Between Aegis Value and Ab Value

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

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

Diversification Opportunities for Aegis Value and Ab Value

0.19

Correlation Coefficient

Aegis Value  Ab Value

Average diversification

The 3 months correlation between Aegis and ABVCX is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Aegis Value Fund and Ab Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Value Fund and Aegis Value 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 Aegis Value Fund are associated (or correlated) with Ab Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Value Fund has no effect on the direction of Aegis Value i.e., Aegis Value and Ab Value go up and down completely randomly.

Pair Corralation between Aegis Value and Ab Value

Assuming the 90 days horizon Aegis Value Fund is expected to generate 1.67 times more return on investment than Ab Value. However, Aegis Value is 1.67 times more volatile than Ab Value Fund. It trades about 0.15 of its potential returns per unit of risk. Ab Value Fund is currently generating about 0.03 per unit of risk. If you would invest  3,555  in Aegis Value Fund on December 28, 2024 and sell it today you would earn a total of  461.00  from holding Aegis Value Fund or generate 12.97% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Aegis Value Fund  vs.  Ab Value Fund

Aegis Value Fund

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Aegis Value Fund are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak essential indicators, Aegis Value showed solid returns over the last few months and may actually be approaching a breakup point.

Ab Value Fund

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Ab Value Fund are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Ab 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 Aegis Value and Ab Value

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

The idea behind Aegis Value Fund and Ab 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.