Correlation Between Frank Value and Locorr Market
Can any of the company-specific risk be diversified away by investing in both Frank Value and Locorr Market 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 Frank Value and Locorr Market into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Frank Value Fund and Locorr Market Trend, you can compare the effects of market volatilities on Frank Value and Locorr Market 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 Frank Value with a short position of Locorr Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frank Value and Locorr Market.
Diversification Opportunities for Frank Value and Locorr Market
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Frank and Locorr is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding Frank Value Fund and Locorr Market Trend in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Locorr Market Trend and Frank 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 Frank Value Fund are associated (or correlated) with Locorr Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Locorr Market Trend has no effect on the direction of Frank Value i.e., Frank Value and Locorr Market go up and down completely randomly.
Pair Corralation between Frank Value and Locorr Market
Assuming the 90 days horizon Frank Value Fund is expected to under-perform the Locorr Market. In addition to that, Frank Value is 2.32 times more volatile than Locorr Market Trend. It trades about -0.37 of its total potential returns per unit of risk. Locorr Market Trend is currently generating about 0.04 per unit of volatility. If you would invest 1,035 in Locorr Market Trend on October 11, 2024 and sell it today you would earn a total of 3.00 from holding Locorr Market Trend or generate 0.29% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Frank Value Fund vs. Locorr Market Trend
Performance |
Timeline |
Frank Value Fund |
Locorr Market Trend |
Frank Value and Locorr Market Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Frank Value and Locorr Market
The main advantage of trading using opposite Frank Value and Locorr Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Frank Value position performs unexpectedly, Locorr Market 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 Locorr Market will offset losses from the drop in Locorr Market's long position.Frank Value vs. Ab Small Cap | Frank Value vs. Rbc Small Cap | Frank Value vs. Cardinal Small Cap | Frank Value vs. Artisan Small Cap |
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Check out your portfolio center.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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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