Correlation Between Tax-managed and Virtus Rampart

Can any of the company-specific risk be diversified away by investing in both Tax-managed and Virtus Rampart 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 Virtus Rampart 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 Virtus Rampart Enhanced, you can compare the effects of market volatilities on Tax-managed and Virtus Rampart 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 Virtus Rampart. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax-managed and Virtus Rampart.

Diversification Opportunities for Tax-managed and Virtus Rampart

0.08

Correlation Coefficient

Tax-managed  Virtus Rampart

Significant diversification

The 3 months correlation between Tax-managed and Virtus is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Large Cap and Virtus Rampart Enhanced in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Rampart Enhanced 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 Virtus Rampart. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Rampart Enhanced has no effect on the direction of Tax-managed i.e., Tax-managed and Virtus Rampart go up and down completely randomly.

Pair Corralation between Tax-managed and Virtus Rampart

Assuming the 90 days horizon Tax Managed Large Cap is expected to under-perform the Virtus Rampart. In addition to that, Tax-managed is 1.33 times more volatile than Virtus Rampart Enhanced. It trades about -0.09 of its total potential returns per unit of risk. Virtus Rampart Enhanced is currently generating about 0.07 per unit of volatility. If you would invest  2,010  in Virtus Rampart Enhanced on December 20, 2024 and sell it today you would earn a total of  54.00  from holding Virtus Rampart Enhanced or generate 2.69% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.33%
Values	Daily Returns

Tax Managed Large Cap  vs.  Virtus Rampart Enhanced

Tax Managed Large

Risk-Adjusted Performance

Very Weak

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

Virtus Rampart Enhanced

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Rampart Enhanced are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Virtus Rampart 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 Virtus Rampart

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

The idea behind Tax Managed Large Cap and Virtus Rampart Enhanced 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.