Correlation Between Frost Kempner and Blrc Sgy

Can any of the company-specific risk be diversified away by investing in both Frost Kempner and Blrc Sgy 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 Blrc Sgy 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 Blrc Sgy Mnp, you can compare the effects of market volatilities on Frost Kempner and Blrc Sgy 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 Blrc Sgy. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frost Kempner and Blrc Sgy.

Diversification Opportunities for Frost Kempner and Blrc Sgy

0.07

Correlation Coefficient

Frost Kempner  Blrc Sgy

Significant diversification

The 3 months correlation between Frost and Blrc is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Frost Kempner Multi Cap and Blrc Sgy Mnp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Blrc Sgy Mnp 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 Blrc Sgy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Blrc Sgy Mnp has no effect on the direction of Frost Kempner i.e., Frost Kempner and Blrc Sgy go up and down completely randomly.

Pair Corralation between Frost Kempner and Blrc Sgy

Assuming the 90 days horizon Frost Kempner Multi Cap is expected to under-perform the Blrc Sgy. In addition to that, Frost Kempner is 4.07 times more volatile than Blrc Sgy Mnp. It trades about -0.04 of its total potential returns per unit of risk. Blrc Sgy Mnp is currently generating about -0.02 per unit of volatility. If you would invest  1,038  in Blrc Sgy Mnp on December 27, 2024 and sell it today you would lose (3.00) from holding Blrc Sgy Mnp or give up 0.29% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Frost Kempner Multi Cap  vs.  Blrc Sgy Mnp

Frost Kempner Multi

Risk-Adjusted Performance

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.

Blrc Sgy Mnp

Risk-Adjusted Performance

Very Weak

Over the last 90 days Blrc Sgy Mnp has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Blrc Sgy 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 Blrc Sgy

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

The idea behind Frost Kempner Multi Cap and Blrc Sgy Mnp 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.