Correlation Between Frost Kempner and Frost Kempner

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

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

Diversification Opportunities for Frost Kempner and Frost Kempner

-0.47

Correlation Coefficient

Frost Kempner  Frost Kempner

Very good diversification

The 3 months correlation between Frost and Frost is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Multi Cap and Frost Kempner Treasury in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Frost Kempner Treasury and Frost Kempner 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 Frost Kempner Multi Cap are associated (or correlated) with Frost Kempner. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Frost Kempner Treasury has no effect on the direction of Frost Kempner i.e., Frost Kempner and Frost Kempner go up and down completely randomly.

Pair Corralation between Frost Kempner and Frost Kempner

Assuming the 90 days horizon Frost Kempner is expected to generate 1.89 times less return on investment than Frost Kempner. In addition to that, Frost Kempner is 14.18 times more volatile than Frost Kempner Treasury. It trades about 0.01 of its total potential returns per unit of risk. Frost Kempner Treasury is currently generating about 0.22 per unit of volatility. If you would invest  840.00  in Frost Kempner Treasury on October 20, 2024 and sell it today you would earn a total of  4.00  from holding Frost Kempner Treasury or generate 0.48% return on investment over 90 days.

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

Frost Kempner Multi Cap  vs.  Frost Kempner Treasury

Frost Kempner Multi

Risk-Adjusted Performance

0 of 100

Very Weak

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

Frost Kempner Treasury

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Frost Kempner Treasury are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Frost Kempner is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Frost Kempner and Frost Kempner

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

The idea behind Frost Kempner Multi Cap and Frost Kempner Treasury 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.