Correlation Between Quantitative and Ab Sustainable

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

By analyzing existing cross correlation between Quantitative Longshort Equity and Ab Sustainable Thematic, you can compare the effects of market volatilities on Quantitative and Ab Sustainable 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 Quantitative with a short position of Ab Sustainable. Check out your portfolio center. Please also check ongoing floating volatility patterns of Quantitative and Ab Sustainable.

Diversification Opportunities for Quantitative and Ab Sustainable

0.23

Correlation Coefficient

Quantitative  Ab Sustainable

Modest diversification

The 3 months correlation between Quantitative and SUTCX is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative Longshort Equity and Ab Sustainable Thematic in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Sustainable Thematic and Quantitative 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 Quantitative Longshort Equity are associated (or correlated) with Ab Sustainable. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Sustainable Thematic has no effect on the direction of Quantitative i.e., Quantitative and Ab Sustainable go up and down completely randomly.

Pair Corralation between Quantitative and Ab Sustainable

Assuming the 90 days horizon Quantitative Longshort Equity is expected to generate 0.42 times more return on investment than Ab Sustainable. However, Quantitative Longshort Equity is 2.37 times less risky than Ab Sustainable. It trades about 0.01 of its potential returns per unit of risk. Ab Sustainable Thematic is currently generating about -0.12 per unit of risk. If you would invest  1,347  in Quantitative Longshort Equity on December 22, 2024 and sell it today you would earn a total of  3.00  from holding Quantitative Longshort Equity or generate 0.22% return on investment over 90 days.

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

Quantitative Longshort Equity  vs.  Ab Sustainable Thematic

Quantitative Longshort

Risk-Adjusted Performance

Weak

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

Ab Sustainable Thematic

Risk-Adjusted Performance

Very Weak

Over the last 90 days Ab Sustainable Thematic has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental 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 Quantitative and Ab Sustainable

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

The idea behind Quantitative Longshort Equity and Ab Sustainable Thematic 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.