Correlation Between Aegis Value and Artisan Small

Can any of the company-specific risk be diversified away by investing in both Aegis Value and Artisan Small 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 Artisan Small 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 Artisan Small Cap, you can compare the effects of market volatilities on Aegis Value and Artisan Small 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 Artisan Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aegis Value and Artisan Small.

Diversification Opportunities for Aegis Value and Artisan Small

0.4

Correlation Coefficient

Aegis Value  Artisan Small

Very weak diversification

The 3 months correlation between Aegis and Artisan is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding Aegis Value Fund and Artisan Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Artisan Small Cap 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 Artisan Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Artisan Small Cap has no effect on the direction of Aegis Value i.e., Aegis Value and Artisan Small go up and down completely randomly.

Pair Corralation between Aegis Value and Artisan Small

Assuming the 90 days horizon Aegis Value is expected to generate 1.06 times less return on investment than Artisan Small. But when comparing it to its historical volatility, Aegis Value Fund is 1.42 times less risky than Artisan Small. It trades about 0.09 of its potential returns per unit of risk. Artisan Small Cap is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  3,516  in Artisan Small Cap on September 13, 2024 and sell it today you would earn a total of  182.00  from holding Artisan Small Cap or generate 5.18% return on investment over 90 days.

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

Aegis Value Fund  vs.  Artisan Small Cap

Aegis Value Fund

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Aegis Value Fund are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong essential indicators, Aegis Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Artisan Small Cap

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Artisan Small Cap are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. 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.

Pair Trading with Aegis Value and Artisan Small

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

The idea behind Aegis Value Fund and Artisan Small Cap 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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.