Correlation Between Brandes Small and Tfa Quantitative

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

By analyzing existing cross correlation between Brandes Small Cap and Tfa Quantitative, you can compare the effects of market volatilities on Brandes Small and Tfa Quantitative 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 Brandes Small with a short position of Tfa Quantitative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brandes Small and Tfa Quantitative.

Diversification Opportunities for Brandes Small and Tfa Quantitative

0.8

Correlation Coefficient

Brandes Small  Tfa Quantitative

Very poor diversification

The 3 months correlation between Brandes and Tfa is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Brandes Small Cap and Tfa Quantitative in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tfa Quantitative and Brandes Small 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 Brandes Small Cap are associated (or correlated) with Tfa Quantitative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tfa Quantitative has no effect on the direction of Brandes Small i.e., Brandes Small and Tfa Quantitative go up and down completely randomly.

Pair Corralation between Brandes Small and Tfa Quantitative

Assuming the 90 days horizon Brandes Small Cap is expected to under-perform the Tfa Quantitative. But the mutual fund apears to be less risky and, when comparing its historical volatility, Brandes Small Cap is 1.12 times less risky than Tfa Quantitative. The mutual fund trades about -0.26 of its potential returns per unit of risk. The Tfa Quantitative is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  1,148  in Tfa Quantitative on October 6, 2024 and sell it today you would lose (18.00) from holding Tfa Quantitative or give up 1.57% of portfolio value over 90 days.

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

Brandes Small Cap  vs.  Tfa Quantitative

Brandes Small Cap

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Brandes Small Cap are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Brandes Small may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Tfa Quantitative

Risk-Adjusted Performance

8 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Tfa Quantitative are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Tfa Quantitative is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Brandes Small and Tfa Quantitative

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

The idea behind Brandes Small Cap and Tfa Quantitative 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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.