Correlation Between Oakmark International and Quantitative Longshort

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

By analyzing existing cross correlation between Oakmark International Small and Quantitative Longshort Equity, you can compare the effects of market volatilities on Oakmark International and Quantitative Longshort 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 Oakmark International with a short position of Quantitative Longshort. Check out your portfolio center. Please also check ongoing floating volatility patterns of Oakmark International and Quantitative Longshort.

Diversification Opportunities for Oakmark International and Quantitative Longshort

0.45

Correlation Coefficient

Oakmark International  Quantitative Longshort

Very weak diversification

The 3 months correlation between Oakmark and Quantitative is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Oakmark International Small and Quantitative Longshort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Quantitative Longshort and Oakmark 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 Oakmark International Small are associated (or correlated) with Quantitative Longshort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Quantitative Longshort has no effect on the direction of Oakmark International i.e., Oakmark International and Quantitative Longshort go up and down completely randomly.

Pair Corralation between Oakmark International and Quantitative Longshort

Assuming the 90 days horizon Oakmark International Small is expected to generate 1.82 times more return on investment than Quantitative Longshort. However, Oakmark International is 1.82 times more volatile than Quantitative Longshort Equity. It trades about 0.02 of its potential returns per unit of risk. Quantitative Longshort Equity is currently generating about 0.04 per unit of risk. If you would invest  1,612  in Oakmark International Small on October 9, 2024 and sell it today you would earn a total of  164.00  from holding Oakmark International Small or generate 10.17% return on investment over 90 days.

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

Oakmark International Small  vs.  Quantitative Longshort Equity

Oakmark International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Oakmark International Small 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 technical and fundamental indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Quantitative Longshort

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Oakmark International and Quantitative Longshort

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

The idea behind Oakmark International Small and Quantitative Longshort Equity 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.

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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.