Correlation Between Lazard Capital and The Arbitrage
Can any of the company-specific risk be diversified away by investing in both Lazard Capital and The Arbitrage 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 Lazard Capital and The Arbitrage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lazard Capital Allocator and The Arbitrage Event Driven, you can compare the effects of market volatilities on Lazard Capital and The Arbitrage 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 Lazard Capital with a short position of The Arbitrage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lazard Capital and The Arbitrage.
Diversification Opportunities for Lazard Capital and The Arbitrage
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lazard and The is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Lazard Capital Allocator and The Arbitrage Event Driven in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arbitrage Event and Lazard Capital 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 Lazard Capital Allocator are associated (or correlated) with The Arbitrage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arbitrage Event has no effect on the direction of Lazard Capital i.e., Lazard Capital and The Arbitrage go up and down completely randomly.
Pair Corralation between Lazard Capital and The Arbitrage
Assuming the 90 days horizon Lazard Capital Allocator is expected to generate 2.75 times more return on investment than The Arbitrage. However, Lazard Capital is 2.75 times more volatile than The Arbitrage Event Driven. It trades about 0.2 of its potential returns per unit of risk. The Arbitrage Event Driven is currently generating about 0.03 per unit of risk. If you would invest 1,060 in Lazard Capital Allocator on September 11, 2024 and sell it today you would earn a total of 79.00 from holding Lazard Capital Allocator or generate 7.45% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Lazard Capital Allocator vs. The Arbitrage Event Driven
Performance |
Timeline |
Lazard Capital Allocator |
Arbitrage Event |
Lazard Capital and The Arbitrage Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Lazard Capital and The Arbitrage
The main advantage of trading using opposite Lazard Capital and The Arbitrage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lazard Capital position performs unexpectedly, The Arbitrage 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 The Arbitrage will offset losses from the drop in The Arbitrage's long position.Lazard Capital vs. Vanguard Financials Index | Lazard Capital vs. Gabelli Global Financial | Lazard Capital vs. Mesirow Financial Small | Lazard Capital vs. Royce Global Financial |
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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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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