Correlation Between Qs Small and Aegis Value

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

By analyzing existing cross correlation between Qs Small Capitalization and Aegis Value Fund, you can compare the effects of market volatilities on Qs Small and Aegis Value 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 Qs Small with a short position of Aegis Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Qs Small and Aegis Value.

Diversification Opportunities for Qs Small and Aegis Value

0.29

Correlation Coefficient

Qs Small  Aegis Value

Modest diversification

The 3 months correlation between LMSIX and Aegis is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Qs Small Capitalization and Aegis Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aegis Value Fund and Qs Small 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 Qs Small Capitalization are associated (or correlated) with Aegis Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aegis Value Fund has no effect on the direction of Qs Small i.e., Qs Small and Aegis Value go up and down completely randomly.

Pair Corralation between Qs Small and Aegis Value

Assuming the 90 days horizon Qs Small Capitalization is expected to generate 0.73 times more return on investment than Aegis Value. However, Qs Small Capitalization is 1.37 times less risky than Aegis Value. It trades about -0.41 of its potential returns per unit of risk. Aegis Value Fund is currently generating about -0.37 per unit of risk. If you would invest  1,577  in Qs Small Capitalization on September 25, 2024 and sell it today you would lose (188.00) from holding Qs Small Capitalization or give up 11.92% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	95.24%
Values	Daily Returns

Qs Small Capitalization  vs.  Aegis Value Fund

Qs Small Capitalization

Risk-Adjusted Performance

0 of 100

Very Weak

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

Aegis Value Fund

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aegis Value Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's essential indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Qs Small and Aegis Value

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

The idea behind Qs Small Capitalization and Aegis Value Fund 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.