Correlation Between Grant Park and Rbc Bluebay

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

By analyzing existing cross correlation between Grant Park Multi and Rbc Bluebay Absolute, you can compare the effects of market volatilities on Grant Park and Rbc Bluebay 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 Grant Park with a short position of Rbc Bluebay. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grant Park and Rbc Bluebay.

Diversification Opportunities for Grant Park and Rbc Bluebay

-0.43

Correlation Coefficient

Grant Park  Rbc Bluebay

Very good diversification

The 3 months correlation between Grant and Rbc is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi and Rbc Bluebay Absolute in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Rbc Bluebay Absolute and Grant Park 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 Grant Park Multi are associated (or correlated) with Rbc Bluebay. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Rbc Bluebay Absolute has no effect on the direction of Grant Park i.e., Grant Park and Rbc Bluebay go up and down completely randomly.

Pair Corralation between Grant Park and Rbc Bluebay

Assuming the 90 days horizon Grant Park Multi is expected to generate 0.31 times more return on investment than Rbc Bluebay. However, Grant Park Multi is 3.2 times less risky than Rbc Bluebay. It trades about 0.12 of its potential returns per unit of risk. Rbc Bluebay Absolute is currently generating about -0.47 per unit of risk. If you would invest  1,043  in Grant Park Multi on October 15, 2024 and sell it today you would earn a total of  6.00  from holding Grant Park Multi or generate 0.58% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Grant Park Multi  vs.  Rbc Bluebay Absolute

Grant Park Multi

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Grant Park Multi are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Grant Park is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Rbc Bluebay Absolute

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Rbc Bluebay Absolute has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Grant Park and Rbc Bluebay

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

The idea behind Grant Park Multi and Rbc Bluebay Absolute 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.