Correlation Between Mondrian International and Mondrian Global

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

By analyzing existing cross correlation between Mondrian International Value and Mondrian Global Listed, you can compare the effects of market volatilities on Mondrian International and Mondrian Global 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 Mondrian International with a short position of Mondrian Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mondrian International and Mondrian Global.

Diversification Opportunities for Mondrian International and Mondrian Global

0.96

Correlation Coefficient

Mondrian International  Mondrian Global

Almost no diversification

The 3 months correlation between Mondrian and Mondrian is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Mondrian International Value and Mondrian Global Listed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mondrian Global Listed and Mondrian International 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 Mondrian International Value are associated (or correlated) with Mondrian Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mondrian Global Listed has no effect on the direction of Mondrian International i.e., Mondrian International and Mondrian Global go up and down completely randomly.

Pair Corralation between Mondrian International and Mondrian Global

Assuming the 90 days horizon Mondrian International Value is expected to generate 1.26 times more return on investment than Mondrian Global. However, Mondrian International is 1.26 times more volatile than Mondrian Global Listed. It trades about -0.09 of its potential returns per unit of risk. Mondrian Global Listed is currently generating about -0.13 per unit of risk. If you would invest  1,649  in Mondrian International Value on September 5, 2024 and sell it today you would lose (78.00) from holding Mondrian International Value or give up 4.73% of portfolio value over 90 days.

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

Mondrian International Value  vs.  Mondrian Global Listed

Mondrian International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Mondrian Global Listed

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Mondrian International and Mondrian Global

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

The idea behind Mondrian International Value and Mondrian Global Listed 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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.