Correlation Between Bts Managed and Quantitative

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

By analyzing existing cross correlation between Bts Managed Income and Quantitative Longshort Equity, you can compare the effects of market volatilities on Bts Managed and 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 Bts Managed with a short position of Quantitative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bts Managed and Quantitative.

Diversification Opportunities for Bts Managed and Quantitative

0.61

Correlation Coefficient

Bts Managed  Quantitative

Poor diversification

The 3 months correlation between Bts and Quantitative is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Bts Managed Income and Quantitative Longshort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Quantitative Longshort and Bts Managed 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 Bts Managed Income are associated (or correlated) with Quantitative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Quantitative Longshort has no effect on the direction of Bts Managed i.e., Bts Managed and Quantitative go up and down completely randomly.

Pair Corralation between Bts Managed and Quantitative

Assuming the 90 days horizon Bts Managed Income is expected to under-perform the Quantitative. But the mutual fund apears to be less risky and, when comparing its historical volatility, Bts Managed Income is 1.6 times less risky than Quantitative. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Quantitative Longshort Equity is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  1,345  in Quantitative Longshort Equity on December 30, 2024 and sell it today you would earn a total of  9.00  from holding Quantitative Longshort Equity or generate 0.67% return on investment over 90 days.

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

Bts Managed Income  vs.  Quantitative Longshort Equity

Bts Managed Income

Risk-Adjusted Performance

Very Weak

Over the last 90 days Bts Managed Income has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Bts Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Quantitative Longshort

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Quantitative Longshort Equity are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, 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 Bts Managed and Quantitative

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

The idea behind Bts Managed Income and Quantitative Longshort Equity 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.