Correlation Between Tax-managed and Segall Bryant

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

By analyzing existing cross correlation between Tax Managed Large Cap and Segall Bryant Hamill, you can compare the effects of market volatilities on Tax-managed and Segall Bryant 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 Tax-managed with a short position of Segall Bryant. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax-managed and Segall Bryant.

Diversification Opportunities for Tax-managed and Segall Bryant

0.32

Correlation Coefficient

Tax-managed  Segall Bryant

Weak diversification

The 3 months correlation between Tax-managed and Segall is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Large Cap and Segall Bryant Hamill in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Segall Bryant Hamill and Tax-managed 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 Tax Managed Large Cap are associated (or correlated) with Segall Bryant. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Segall Bryant Hamill has no effect on the direction of Tax-managed i.e., Tax-managed and Segall Bryant go up and down completely randomly.

Pair Corralation between Tax-managed and Segall Bryant

Assuming the 90 days horizon Tax Managed Large Cap is expected to under-perform the Segall Bryant. In addition to that, Tax-managed is 8.71 times more volatile than Segall Bryant Hamill. It trades about -0.16 of its total potential returns per unit of risk. Segall Bryant Hamill is currently generating about -0.21 per unit of volatility. If you would invest  1,016  in Segall Bryant Hamill on October 9, 2024 and sell it today you would lose (5.00) from holding Segall Bryant Hamill or give up 0.49% of portfolio value over 90 days.

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

Tax Managed Large Cap  vs.  Segall Bryant Hamill

Tax Managed Large

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Tax Managed Large Cap are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Tax-managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Segall Bryant Hamill

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Tax-managed and Segall Bryant

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

The idea behind Tax Managed Large Cap and Segall Bryant Hamill 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.