Correlation Between Fuller Thaler and International Equity

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Can any of the company-specific risk be diversified away by investing in both Fuller Thaler and International Equity 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 Fuller Thaler and International Equity into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fuller Thaler Behavioral and International Equity Index, you can compare the effects of market volatilities on Fuller Thaler and International Equity 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 Fuller Thaler with a short position of International Equity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fuller Thaler and International Equity.

Diversification Opportunities for Fuller Thaler and International Equity

FullerInternationalDiversified AwayFullerInternationalDiversified Away100%
0.48
  Correlation Coefficient

Very weak diversification

The 3 months correlation between Fuller and International is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Fuller Thaler Behavioral and International Equity Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on International Equity and Fuller Thaler 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 Fuller Thaler Behavioral are associated (or correlated) with International Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of International Equity has no effect on the direction of Fuller Thaler i.e., Fuller Thaler and International Equity go up and down completely randomly.

Pair Corralation between Fuller Thaler and International Equity

Assuming the 90 days horizon Fuller Thaler Behavioral is expected to under-perform the International Equity. In addition to that, Fuller Thaler is 1.88 times more volatile than International Equity Index. It trades about -0.05 of its total potential returns per unit of risk. International Equity Index is currently generating about 0.01 per unit of volatility. If you would invest  1,145  in International Equity Index on October 31, 2024 and sell it today you would earn a total of  4.00  from holding International Equity Index or generate 0.35% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Fuller Thaler Behavioral  vs.  International Equity Index

 Performance 
JavaScript chart by amCharts 3.21.15NovDec2025 -505
JavaScript chart by amCharts 3.21.15FTHNX PFIEX
       Timeline  
Fuller Thaler Behavioral 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Fuller Thaler Behavioral has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Fuller Thaler is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15NovDecJanDecJan4546474849505152
International Equity 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days International Equity Index has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, International Equity is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15NovDecJanDecJan10.91111.111.211.311.411.511.6

Fuller Thaler and International Equity Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-2.4-1.82-1.24-0.66-0.080.471.051.632.212.79 0.10.20.30.40.50.6
JavaScript chart by amCharts 3.21.15FTHNX PFIEX
       Returns  

Pair Trading with Fuller Thaler and International Equity

The main advantage of trading using opposite Fuller Thaler and International Equity positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fuller Thaler position performs unexpectedly, International Equity 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 International Equity will offset losses from the drop in International Equity's long position.
The idea behind Fuller Thaler Behavioral and International Equity Index 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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.

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