Correlation Between Aegis Value and Lebenthal Lisanti

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

Diversification Opportunities for Aegis Value and Lebenthal Lisanti

-0.5

Correlation Coefficient

Aegis Value  Lebenthal Lisanti

Very good diversification

The 3 months correlation between Aegis and Lebenthal is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Aegis Value Fund and Lebenthal Lisanti Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lebenthal Lisanti Small 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 Lebenthal Lisanti. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lebenthal Lisanti Small has no effect on the direction of Aegis Value i.e., Aegis Value and Lebenthal Lisanti go up and down completely randomly.

Pair Corralation between Aegis Value and Lebenthal Lisanti

Assuming the 90 days horizon Aegis Value Fund is expected to generate 0.8 times more return on investment than Lebenthal Lisanti. However, Aegis Value Fund is 1.24 times less risky than Lebenthal Lisanti. It trades about 0.15 of its potential returns per unit of risk. Lebenthal Lisanti Small is currently generating about -0.19 per unit of risk. If you would invest  3,555  in Aegis Value Fund on December 30, 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 Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Aegis Value Fund  vs.  Lebenthal Lisanti Small

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.

Lebenthal Lisanti Small

Risk-Adjusted Performance

Very Weak

Over the last 90 days Lebenthal Lisanti Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's technical and fundamental indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Aegis Value and Lebenthal Lisanti

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

The idea behind Aegis Value Fund and Lebenthal Lisanti 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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.