Correlation Between BlackRock and Bancroft Fund

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

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

Diversification Opportunities for BlackRock and Bancroft Fund

0.27

Correlation Coefficient

BlackRock  Bancroft Fund

Modest diversification

The 3 months correlation between BlackRock and Bancroft is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding BlackRock and Bancroft Fund Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bancroft Fund Limited and BlackRock 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 BlackRock are associated (or correlated) with Bancroft Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bancroft Fund Limited has no effect on the direction of BlackRock i.e., BlackRock and Bancroft Fund go up and down completely randomly.

Pair Corralation between BlackRock and Bancroft Fund

Considering the 90-day investment horizon BlackRock is expected to under-perform the Bancroft Fund. In addition to that, BlackRock is 1.75 times more volatile than Bancroft Fund Limited. It trades about -0.04 of its total potential returns per unit of risk. Bancroft Fund Limited is currently generating about -0.03 per unit of volatility. If you would invest  1,764  in Bancroft Fund Limited on December 29, 2024 and sell it today you would lose (33.00) from holding Bancroft Fund Limited or give up 1.87% of portfolio value over 90 days.

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

BlackRock  vs.  Bancroft Fund Limited

BlackRock

Risk-Adjusted Performance

Very Weak

Over the last 90 days BlackRock has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent essential indicators, BlackRock is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Bancroft Fund Limited

Risk-Adjusted Performance

Very Weak

Over the last 90 days Bancroft Fund Limited has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable fundamental indicators, Bancroft Fund is not utilizing all of its potentials. The newest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Pair Trading with BlackRock and Bancroft Fund

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

The idea behind BlackRock and Bancroft Fund Limited 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.