Correlation Between Ultimus Managers and Invesco SP

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

By analyzing existing cross correlation between Ultimus Managers Trust and Invesco SP 500, you can compare the effects of market volatilities on Ultimus Managers and Invesco SP 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 Ultimus Managers with a short position of Invesco SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultimus Managers and Invesco SP.

Diversification Opportunities for Ultimus Managers and Invesco SP

-0.03

Correlation Coefficient

Ultimus Managers  Invesco SP

Good diversification

The 3 months correlation between Ultimus and Invesco is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Ultimus Managers Trust and Invesco SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco SP 500 and Ultimus Managers 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 Ultimus Managers Trust are associated (or correlated) with Invesco SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco SP 500 has no effect on the direction of Ultimus Managers i.e., Ultimus Managers and Invesco SP go up and down completely randomly.

Pair Corralation between Ultimus Managers and Invesco SP

Given the investment horizon of 90 days Ultimus Managers Trust is expected to generate 0.99 times more return on investment than Invesco SP. However, Ultimus Managers Trust is 1.01 times less risky than Invesco SP. It trades about 0.06 of its potential returns per unit of risk. Invesco SP 500 is currently generating about -0.06 per unit of risk. 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 Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Ultimus Managers Trust  vs.  Invesco SP 500

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.

Invesco SP 500

Risk-Adjusted Performance

Very Weak

Over the last 90 days Invesco SP 500 has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, Invesco SP is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Ultimus Managers and Invesco SP

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

The idea behind Ultimus Managers Trust and Invesco SP 500 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.