Correlation Between Fam Value and Aegis Value

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

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

Diversification Opportunities for Fam Value and Aegis Value

0.11

Correlation Coefficient

Fam Value  Aegis Value

Average diversification

The 3 months correlation between Fam and Aegis is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Fam Value Fund and Aegis Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aegis Value Fund and Fam 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 Fam Value Fund are associated (or correlated) with Aegis Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aegis Value Fund has no effect on the direction of Fam Value i.e., Fam Value and Aegis Value go up and down completely randomly.

Pair Corralation between Fam Value and Aegis Value

Assuming the 90 days horizon Fam Value Fund is expected to generate 0.58 times more return on investment than Aegis Value. However, Fam Value Fund is 1.71 times less risky than Aegis Value. It trades about 0.12 of its potential returns per unit of risk. Aegis Value Fund is currently generating about -0.05 per unit of risk. If you would invest  10,319  in Fam Value Fund on September 15, 2024 and sell it today you would earn a total of  639.00  from holding Fam Value Fund or generate 6.19% return on investment over 90 days.

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

Fam Value Fund  vs.  Aegis Value Fund

Fam Value Fund

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Fam Value Fund are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Fam Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aegis Value Fund

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Fam Value and Aegis Value

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

The idea behind Fam Value Fund and Aegis Value Fund 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.