Correlation Between Ab Small and Ultimus Managers

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

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

Diversification Opportunities for Ab Small and Ultimus Managers

0.81

Correlation Coefficient

Ab Small  Ultimus Managers

Very poor diversification

The 3 months correlation between QUAIX and Ultimus is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Ab Small Cap 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 Ab 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 Ab Small Cap 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 Ab Small i.e., Ab Small and Ultimus Managers go up and down completely randomly.

Pair Corralation between Ab Small and Ultimus Managers

Assuming the 90 days horizon Ab Small Cap is expected to generate 1.3 times more return on investment than Ultimus Managers. However, Ab Small is 1.3 times more volatile than Ultimus Managers Trust. It trades about 0.14 of its potential returns per unit of risk. Ultimus Managers Trust is currently generating about -0.01 per unit of risk. If you would invest  7,022  in Ab Small Cap on September 13, 2024 and sell it today you would earn a total of  727.00  from holding Ab Small Cap or generate 10.35% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.44%
Values	Daily Returns

Ab Small Cap  vs.  Ultimus Managers Trust

Ab Small Cap

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ab Small Cap are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Ab Small may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Ultimus Managers Trust

Risk-Adjusted Performance

0 of 100

OK

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

Pair Trading with Ab Small and Ultimus Managers

The main advantage of trading using opposite Ab Small and Ultimus Managers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Small 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 Ab Small Cap 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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..