Correlation Between First Trust and Ultimus Managers

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

By analyzing existing cross correlation between First Trust Exchange Traded and Ultimus Managers Trust, you can compare the effects of market volatilities on First Trust and Ultimus Managers 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 First Trust with a short position of Ultimus Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of First Trust and Ultimus Managers.

Diversification Opportunities for First Trust and Ultimus Managers

0.27

Correlation Coefficient

First Trust  Ultimus Managers

Modest diversification

The 3 months correlation between First and Ultimus is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding First Trust Exchange Traded and Ultimus Managers Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultimus Managers Trust and First Trust 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 First Trust Exchange Traded are associated (or correlated) with Ultimus Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultimus Managers Trust has no effect on the direction of First Trust i.e., First Trust and Ultimus Managers go up and down completely randomly.

Pair Corralation between First Trust and Ultimus Managers

Given the investment horizon of 90 days First Trust Exchange Traded is expected to under-perform the Ultimus Managers. But the etf apears to be less risky and, when comparing its historical volatility, First Trust Exchange Traded is 1.2 times less risky than Ultimus Managers. The etf trades about -0.04 of its potential returns per unit of risk. The Ultimus Managers Trust is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  2,700  in Ultimus Managers Trust on December 29, 2024 and sell it today you would earn a total of  104.00  from holding Ultimus Managers Trust or generate 3.85% return on investment over 90 days.

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

First Trust Exchange Traded  vs.  Ultimus Managers Trust

First Trust Exchange

Risk-Adjusted Performance

Very Weak

Over the last 90 days First Trust Exchange Traded has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly stable technical and fundamental indicators, First Trust is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Ultimus Managers Trust

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Ultimus Managers Trust are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Ultimus Managers is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with First Trust and Ultimus Managers

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

The idea behind First Trust Exchange Traded and Ultimus Managers Trust 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.