Correlation Between New Economy and Aegis Value
Can any of the company-specific risk be diversified away by investing in both New Economy and Aegis Value 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 New Economy and Aegis Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between New Economy Fund and Aegis Value Fund, you can compare the effects of market volatilities on New Economy and Aegis Value 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 New Economy with a short position of Aegis Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of New Economy and Aegis Value.
Diversification Opportunities for New Economy and Aegis Value
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between New and Aegis is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding New Economy Fund and Aegis Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aegis Value Fund and New Economy 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 New Economy Fund are associated (or correlated) with Aegis Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aegis Value Fund has no effect on the direction of New Economy i.e., New Economy and Aegis Value go up and down completely randomly.
Pair Corralation between New Economy and Aegis Value
Assuming the 90 days horizon New Economy is expected to generate 1.06 times less return on investment than Aegis Value. But when comparing it to its historical volatility, New Economy Fund is 1.31 times less risky than Aegis Value. It trades about 0.18 of its potential returns per unit of risk. Aegis Value Fund is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 3,694 in Aegis Value Fund on September 11, 2024 and sell it today you would earn a total of 358.00 from holding Aegis Value Fund or generate 9.69% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
New Economy Fund vs. Aegis Value Fund
Performance |
Timeline |
New Economy Fund |
Aegis Value Fund |
New Economy and Aegis Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with New Economy and Aegis Value
The main advantage of trading using opposite New Economy and Aegis Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if New Economy position performs unexpectedly, Aegis Value 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 Aegis Value will offset losses from the drop in Aegis Value's long position.New Economy vs. T Rowe Price | New Economy vs. Columbia Global Technology | New Economy vs. Blackrock Science Technology | New Economy vs. John Hancock Variable |
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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.
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