Correlation Between Fulcrum Diversified and Blackrock Value

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

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

Diversification Opportunities for Fulcrum Diversified and Blackrock Value

0.68

Correlation Coefficient

Fulcrum Diversified  Blackrock Value

Poor diversification

The 3 months correlation between Fulcrum and Blackrock is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Fulcrum Diversified Absolute and Blackrock Value Opps in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blackrock Value Opps and Fulcrum Diversified 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 Fulcrum Diversified Absolute are associated (or correlated) with Blackrock Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blackrock Value Opps has no effect on the direction of Fulcrum Diversified i.e., Fulcrum Diversified and Blackrock Value go up and down completely randomly.

Pair Corralation between Fulcrum Diversified and Blackrock Value

Assuming the 90 days horizon Fulcrum Diversified Absolute is expected to under-perform the Blackrock Value. In addition to that, Fulcrum Diversified is 1.07 times more volatile than Blackrock Value Opps. It trades about -0.13 of its total potential returns per unit of risk. Blackrock Value Opps is currently generating about -0.02 per unit of volatility. If you would invest  3,154  in Blackrock Value Opps on September 13, 2024 and sell it today you would lose (15.00) from holding Blackrock Value Opps or give up 0.48% of portfolio value over 90 days.

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

Fulcrum Diversified Absolute  vs.  Blackrock Value Opps

Fulcrum Diversified

Risk-Adjusted Performance

0 of 100

Very Weak

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

Blackrock Value Opps

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Blackrock Value Opps are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Blackrock Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Fulcrum Diversified and Blackrock Value

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

The idea behind Fulcrum Diversified Absolute and Blackrock Value Opps 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.